<SEC-DOCUMENT>0000900092-11-000444.txt : 20111107
<SEC-HEADER>0000900092-11-000444.hdr.sgml : 20111107
<ACCEPTANCE-DATETIME>20111107122009
ACCESSION NUMBER:		0000900092-11-000444
CONFORMED SUBMISSION TYPE:	N-CSR
PUBLIC DOCUMENT COUNT:		10
CONFORMED PERIOD OF REPORT:	20110831
FILED AS OF DATE:		20111107
DATE AS OF CHANGE:		20111107
EFFECTIVENESS DATE:		20111107

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-CSR
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-21349
		FILM NUMBER:		111183582

	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-CSR
<SEQUENCE>1
<FILENAME>blwfinal.htm
<DESCRIPTION>BR LIMITED DURATION INDOMCE TRUST (BLW)
<TEXT>

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

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

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

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Table of Contents</FONT>&nbsp;</TD>

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

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

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

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

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

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

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

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

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

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Benefits and Risks of Leveraging</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>12</FONT>&nbsp;</TD></TR>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>12</FONT>&nbsp;</TD></TR>

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

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

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>13</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 4px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Statements of Assets and Liabilities</FONT>&nbsp;</TD>

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

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>45</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 4px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Statements of Changes in Net Assets</FONT>&nbsp;</TD>

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

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   <TD style="TEXT-INDENT: 4px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Statements of Cash Flows</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>48</FONT>&nbsp;</TD></TR>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>49</FONT>&nbsp;</TD></TR>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>53</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Report of Independent Registered Public Accounting Firm</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>64</FONT>&nbsp;</TD></TR>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>64</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>65</FONT>&nbsp;</TD></TR>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>69</FONT>&nbsp;</TD></TR>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>70</FONT>&nbsp;</TD></TR>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>73</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>2 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Dear Shareholder</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Market volatility has been extraordinary in recent months. Government debt and deficit issues in both</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the US and Europe have taken a toll on investor sentiment while weaker-than-expected US economic</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>data raised concerns of another recession. Political instability and concerns that central banks have</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>nearly exhausted their stimulus measures have further compounded investor uncertainty.Although</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>markets remain volatile and conditions are highly uncertain, BlackRock remains focused on finding</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>opportunities in this environment.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The pages that follow reflect your fund&#8217;s reporting period ended August 31, 2011.Accordingly, the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>following discussion is intended to provide you with additional perspective on the performance of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>your investments during that period.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>One year ago, the global economy appeared to solidly be in recovery mode and investors were opti-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>mistic given the anticipated second round of quantitative easing from the US Federal Reserve (the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8220;Fed&#8221;). Stock markets rallied despite the ongoing sovereign debt crisis in Europe and inflationary pres-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>sures looming over emerging markets. Fixed income markets, however, saw yields move sharply upward</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(pushing prices down) especially on the long end of the historically steep yield curve.While high yield</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>bonds benefited from the risk rally, most fixed income sectors declined in the fourth quarter.The tax-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>exempt municipal market faced additional headwinds as it became evident that the Build America</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Bond program would not be extended and municipal finance troubles abounded.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The new year brought spikes of volatility as political turmoil swept across the Middle East/North Africa</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>region and as prices of oil and other commodities soared. Natural disasters in Japan disrupted indus-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>trial supply chains and concerns mounted over US debt and deficit issues. Equities generally performed</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>well early in the year, however, as investors chose to focus on the continuing stream of strong corporate</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>earnings and positive economic data. Credit markets were surprisingly resilient in this environment and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>yields regained relative stability in 2011.The tax-exempt market saw relief from its headwinds and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>steadily recovered from its fourth-quarter lows. Equities, commodities and high yield bonds outpaced</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>higher-quality assets as investors increased their risk tolerance.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>However, longer-term headwinds had been brewing. Inflationary pressures intensified in emerging</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>economies, many of which were overheating, and the European debt crisis continued to escalate.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Markets were met with a sharp reversal in May when political unrest in Greece pushed the nation closer</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>to defaulting on its debt.This development rekindled fears about the broader debt crisis and its further</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>contagion among peripheral European countries. Concurrently, it became evident that the pace of global</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>economic growth had slowed as higher oil prices and supply chain disruptions finally showed up in</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>economic data. By mid-summer, confidence in policymakers was tarnished as the prolonged US debt</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ceiling debate revealed the degree of polarization in Washington, DC.The downgrade of the US govern-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ment&#8217;s credit rating on August 5 was the catalyst for the recent turmoil in financial markets. Extreme</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>volatility persisted as Europe&#8217;s debt and banking crisis deepened and US economic data continued</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>to weaken. Investors fled from riskier assets, pushing stock and high yield bond indices into negative</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>territory for the six-month period ended August 31, while lower-risk investments including US Treasuries,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>municipal securities and investment grade corporate bonds posted gains.Twelve-month returns on all</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>asset classes remained positive. Continued low short-term interest rates kept yields on money market</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>securities near their all-time lows.</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookItal,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8220;BlackRock remains focused</FONT><BR><FONT face=FranklinGothic-BookItal,Arial,Helvetica,sans-serif color=#231f20 size=2>on managing risk and finding</FONT><BR><FONT face=FranklinGothic-BookItal,Arial,Helvetica,sans-serif color=#231f20 size=2>opportunities in all market</FONT><BR><FONT face=FranklinGothic-BookItal,Arial,Helvetica,sans-serif color=#231f20 size=2>environments.&#8221;</FONT><BR><BR><B><FONT face=CorporateS-Medium,Arial,Helvetica,sans-serif color=#231f20 size=2>Rob Kapito</FONT></B><BR><FONT face=CorporateS-Light,Arial,Helvetica,sans-serif color=#231f20 size=2>President, BlackRock Advisors, LLC</FONT></P>

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   <TD align=left colSpan=3><B><FONT face=CorporateE-Medium,Arial,Helvetica,sans-serif color=#231f20 size=2>Total Returns as of August 31, 2011</FONT></B>&nbsp;</TD></TR>

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   <TD align=left bgColor=#231f20>&nbsp;</TD>

   <TD align=left bgColor=#231f20><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#ffffff size=1>6-month</FONT>&nbsp;</TD>

   <TD align=middle bgColor=#231f20><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#ffffff size=1>12-month</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>US large cap equities</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=CorporateS-Light,Arial,Helvetica,sans-serif color=#231f20 size=1>(7.23)%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=CorporateS-Light,Arial,Helvetica,sans-serif color=#231f20 size=1>18.50%</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>(S&amp;P 500</FONT><SUP><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>&#174; </FONT></SUP><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>Index)</FONT>&nbsp;</TD>

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   <TD style="TEXT-INDENT: 2px" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>US small cap equities</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=CorporateS-Light,Arial,Helvetica,sans-serif color=#231f20 size=1>(11.17)</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=CorporateS-Light,Arial,Helvetica,sans-serif color=#231f20 size=1>22.19</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>(Russell 2000</FONT><SUP><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>&#174; </FONT></SUP><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>Index)</FONT>&nbsp;</TD>

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

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

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   <TD style="TEXT-INDENT: 2px" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>International equities</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=CorporateS-Light,Arial,Helvetica,sans-serif color=#231f20 size=1>(11.12)</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=CorporateS-Light,Arial,Helvetica,sans-serif color=#231f20 size=1>10.01</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>(MSCI Europe, Australasia,</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>Far East Index)</FONT>&nbsp;</TD>

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

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

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   <TD style="TEXT-INDENT: 2px" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>Emerging market</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=CorporateS-Light,Arial,Helvetica,sans-serif color=#231f20 size=1>(5.11)</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=CorporateS-Light,Arial,Helvetica,sans-serif color=#231f20 size=1>9.07</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>equities (MSCI Emerging</FONT>&nbsp;</TD>

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

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

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   <TD style="TEXT-INDENT: 2px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>Markets Index)</FONT>&nbsp;</TD>

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

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

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   <TD style="TEXT-INDENT: 2px" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>3-month Treasury</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=CorporateS-Light,Arial,Helvetica,sans-serif color=#231f20 size=1>0.08</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=CorporateS-Light,Arial,Helvetica,sans-serif color=#231f20 size=1>0.15</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>bill (BofA Merrill Lynch</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>3-Month Treasury</FONT>&nbsp;</TD>

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

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

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   <TD style="TEXT-INDENT: 2px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>Bill Index)</FONT>&nbsp;</TD>

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

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

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   <TD style="TEXT-INDENT: 2px" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>US Treasury securities</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=CorporateS-Light,Arial,Helvetica,sans-serif color=#231f20 size=1>13.04</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=CorporateS-Light,Arial,Helvetica,sans-serif color=#231f20 size=1>6.21</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>(BofA Merrill Lynch 10-</FONT>&nbsp;</TD>

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

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

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   <TD style="TEXT-INDENT: 2px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>Year US Treasury Index)</FONT>&nbsp;</TD>

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

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

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   <TD style="TEXT-INDENT: 2px" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>US investment grade</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=CorporateS-Light,Arial,Helvetica,sans-serif color=#231f20 size=1>5.49</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=CorporateS-Light,Arial,Helvetica,sans-serif color=#231f20 size=1>4.62</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>bonds (Barclays</FONT>&nbsp;</TD>

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

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

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   <TD style="TEXT-INDENT: 2px" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>Capital US Aggregate</FONT>&nbsp;</TD>

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

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

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   <TD style="TEXT-INDENT: 2px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>Bond Index)</FONT>&nbsp;</TD>

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

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

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   <TD style="TEXT-INDENT: 2px" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>Tax-exempt municipal</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=CorporateS-Light,Arial,Helvetica,sans-serif color=#231f20 size=1>6.39</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=CorporateS-Light,Arial,Helvetica,sans-serif color=#231f20 size=1>2.66</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>bonds (Barclays Capital</FONT>&nbsp;</TD>

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

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

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   <TD style="TEXT-INDENT: 2px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>Municipal Bond Index)</FONT>&nbsp;</TD>

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

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

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   <TD style="TEXT-INDENT: 2px" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>US high yield bonds</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=CorporateS-Light,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.57)</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=CorporateS-Light,Arial,Helvetica,sans-serif color=#231f20 size=1>8.32</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>(Barclays Capital US</FONT>&nbsp;</TD>

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

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

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   <TD style="TEXT-INDENT: 2px" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>Corporate High Yield 2%</FONT>&nbsp;</TD>

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

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

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   <TD style="TEXT-INDENT: 2px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=CorporateS-Regular,Arial,Helvetica,sans-serif color=#231f20 size=1>Issuer Capped Index)</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></TABLE></DIV>

<P style="MARGIN: 0px"><FONT face=DINCond-Light,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>Past performance is no guarantee of future results. Index performance is</FONT><BR><FONT face=DINCond-Light,Arial,Helvetica,sans-serif color=#231f20 size=1>shown for illustrative purposes only. You cannot invest directly in an index.</FONT></P>

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

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<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Fund Summary </FONT><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=2>as of August 31, 2011 </FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=2>BlackRock Defined Opportunity Credit Trust</FONT><BR><BR><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Investment Objective</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>BlackRock Defined Opportunity Credit Trust&#8217;s (BHL) (the &#8220;Fund&#8221;) </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>primary investment objective is to provide high current income, with a secondary objective</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of long-term capital appreciation. The Fund seeks to achieve its investment objectives by investing substantially all of its assets in loan and debt instruments</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and loan-related and debt-related instruments (collectively "credit securities"). The Fund invests, under normal market conditions, at least 80% of its assets</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>in any combination of the following credit securities: (i) senior secured floating rate and fixed rate loans; (ii) second lien or other subordinated or unsecured</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>floating rate and fixed rate loans or debt; (iii) credit securities that are rated below investment grade quality; and (iv) investment grade corporate bonds.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Fund may invest directly in such securities or synthetically through the use of derivatives.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>No assurance can be given that the Fund&#8217;s investment objectives will be achieved.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Portfolio Management Commentary</FONT><BR><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=1>How did the Fund perform?</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>For the 12 months ended August 31, 2011, the Fund returned 4.17%</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>based on market price and 2.93% based on net asset value (&#8220;NAV&#8221;).</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>For the same period, the closed-end Lipper Loan Participation Funds cate-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>gory posted an average return of 1.16% based on market price and 3.79%</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>based on NAV. All returns reflect reinvestment of dividends. The Fund's dis-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>count to NAV, which narrowed during the period, accounts for the difference</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>between performance based on price and performance based on NAV. The</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>following discussion relates to performance based on NAV.</FONT><BR><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=1>What factors influenced performance?</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Positive Fund performance was predominantly driven by security selection</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>within the higher-quality tiers of the market. Security selection continued</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>to reflect the higher-quality bias the Fund has employed over the last two</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>years, which has focused on sectors classified as &#8220;recession-resistant&#8221;</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and not heavily reliant on a strong consumer, such as chemicals and non-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>captive diversified (industrials). The Fund&#8217;s exposure to high yield bonds</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>was another contributor to performance as the asset class performed well</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>over the period.</FONT><BR><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Toward the end of 2010, the market was priced for slow-but-modest</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>growth. Credit fundamentals had materially improved and refinancing</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>was easier for non-investment grade issuers given a robust capital market.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Default activity was muted and expected to remain benign throughout</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>2011. In this environment, lower-quality loans staged a significant rally</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and managed to outperform their higher-quality counterparts. Therefore,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the Fund&#8217;s limited exposure to low-quality credits negatively impacted</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>returns. The Fund uses foreign currency exchange contracts to manage</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>currency risk in the portfolio. The net effect of the contracts during the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>period was negative.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=1>Describe recent portfolio activity.</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>During the period, the Fund did not deviate from its higher quality bias in</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>terms of loan structure, overall credit quality and liquidity. This focus was</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>even more pressing in 2011, when loans traded close to par and gave</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>investors no incentive to forgo credit quality in order to pick up yield. Prior</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>to the correction in the last month of the period, when fund management</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>believed market conditions were weakening, fund management sold some</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of the Fund&#8217;s lower-quality securities, therefore raising the cash reserve</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>level. Becoming more conservative overall, fund management continued to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>navigate the market for deals, targeting issuers with superior credit funda-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>mentals (i.e., stable income streams and attractive downside protection).</FONT><BR><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=1>Describe portfolio positioning at period end.</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>At period end, the Fund held 86% of its total portfolio in floating rate loan</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>interests (bank loans) and 11% in corporate bonds, with the remainder in</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>asset-backed securities, other interests and common stocks. The Fund</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ended the period with leverage at 27% of its total managed assets.</FONT></P>

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

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>4 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=2>BlackRock Defined Opportunity Credit Trust</FONT>&nbsp;</TD></TR>

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

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

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

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

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

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

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Yield on Closing Market Price as of August 31, 2011 ($12.65)</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>1</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>6.26%</FONT>&nbsp;</TD></TR>

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

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$0.0660</FONT>&nbsp;</TD></TR>

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

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$0.7920</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Leverage as of August 31, 2011</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>27%</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>1 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The distribution rate is not constant and is subject to change.</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by theFund, please see The Benefits and Risks of Leveraging</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>on page 12.<BR></FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The table below summarizes the changes in the Fund&#8217;s market price and NAV per share:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

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

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

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

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

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

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

<TR vAlign=bottom>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/31/11</FONT>&nbsp;</TD>

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

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

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

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

<TR vAlign=bottom>

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

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$12.65</FONT>&nbsp;</TD>

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

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(1.63)%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$15.71</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$11.77</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$13.17</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(2.80)%</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$12.93</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

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

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

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

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

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

<TR vAlign=bottom>

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/31/11</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

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

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

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

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

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

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

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

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

<TR vAlign=bottom>

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/31/11</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

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

   <TD style="TEXT-INDENT: 2px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>12%</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

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

   <TD style="TEXT-INDENT: 2px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>55</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

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

<TR vAlign=bottom>

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

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

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

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

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 5</FONT></P>

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



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<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Fund Summary </FONT><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=2>as of August 31, 2011 </FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=2>BlackRock Diversified Income Strategies Fund, Inc.</FONT><BR><BR><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Investment Objective</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>BlackRock Diversified Income Strategies Fund, Inc.&#8217;s (DVF) (the &#8220;Fund&#8221;) </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>investment objective is to provide shareholders with high current income. The Fund</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>seeks to achieve its investment objective by investing primarily in floating rate debt securities and instruments, including floating rate loans, bonds, certain</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>preferred securities (including certain convertible preferred securities), notes or other debt securities or instruments which pay a floating or variable rate of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>interest until maturity. The Fund considers floating rate debt securities to include fixed rate debt securities held by the Fund where the Fund has entered into</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>certain derivative transactions at either the portfolio level or with respect to an individual security held by the Fund, including interest rate swap agreements,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>in an attempt to convert the fixed rate payments it receives with respect to such securities into floating rate payments. The Fund may invest, under normal</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>market conditions, a substantial portion of its assets in below investment grade quality securities. The Fund may invest directly in such securities or syntheti-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>cally through the use of derivatives.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>No assurance can be given that the Fund&#8217;s investment objective will be achieved.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Portfolio Management Commentary</FONT><BR><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=1>How did the Fund perform?</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>For the 12 months ended August 31, 2011, the Fund returned 0.91%</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>based on market price and 4.30% based on NAV. For the same period,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the closed-end Lipper Loan Participation Funds category posted an average</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>return of 1.16% based on market price and 3.79% based on NAV. All</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>returns reflect reinvestment of dividends. The Fund's discount to NAV, which</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>widened during the period, accounts for the difference between perform-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ance based on price and performance based on NAV. The following discus-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>sion relates to performance based on NAV.</FONT><BR><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=1>What factors influenced performance?</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Positive Fund performance was predominantly driven by security selection</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>within the higher-quality tiers of the market. Security selection continued</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>to reflect the higher-quality bias the Fund has employed over the last two</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>years, which has focused on sectors classified as &#8220;recession-resistant&#8221; and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>not heavily reliant on a strong consumer, such as chemicals and non-cap-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>tive diversified (industrials). The Fund&#8217;s exposure to high yield bonds was</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>another contributor to performance as the asset class performed well over</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the period.</FONT><BR><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Toward the end of 2010, the market was priced for slow-but-modest</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>growth. Credit fundamentals had materially improved and refinancing</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>was easier for non-investment grade issuers given a robust capital market.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Default activity was muted and expected to remain benign throughout</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>2011. In this environment, lower-quality loans staged a significant rally</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and managed to outperform their higher-quality counterparts. Therefore,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the Fund&#8217;s limited exposure to low-quality credits negatively</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>impacted returns. The Fund uses foreign currency exchange contracts to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>manage currency risk in the portfolio. The net effect of the contracts during</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the period was negative.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=1>Describe recent portfolio activity.</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>During the period, the Fund did not deviate from its higher quality bias in</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>terms of loan structure, overall credit quality and liquidity. This focus was</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>even more pressing in 2011, when loans traded close to par and gave</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>investors no incentive to forgo credit quality in order to pick up yield. Prior</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>to the correction in the last month of the period, when fund management</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>believed market conditions were weakening, fund management sold some</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of the Fund&#8217;s lower-quality securities, therefore raising the cash reserve</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>level. Becoming more conservative overall, fund management continued to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>navigate the market for deals, targeting issuers with superior credit funda-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>mentals (i.e., stable income streams and attractive downside protection).</FONT><BR><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=1>Describe portfolio positioning at period end.</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>At period end, the Fund held 80% of its total portfolio in floating rate loan</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>interests (bank loans) and 14% in corporate bonds, with the remainder in</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>asset-backed securities, common stocks and other interests. The Fund</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ended the period with leverage at 27% of its total managed assets.</FONT></P>

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

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>6 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=2>BlackRock Diversified Income Strategies Fund, Inc.</FONT>&nbsp;</TD></TR>

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

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

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

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

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

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Yield on Closing Market Price as of August 31, 2011 ($9.84)</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>1</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>7.13%</FONT>&nbsp;</TD></TR>

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

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$0.0585</FONT>&nbsp;</TD></TR>

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

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$0.7020</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Leverage as of August 31, 2011</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>27%</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>1 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The distribution rate is not constant and is subject to change.</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of lia-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>bilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>page 12.<BR></FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The table below summarizes the changes in the Fund&#8217;s market price and NAV per share:</FONT></P>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/31/11</FONT>&nbsp;</TD>

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

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

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

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

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

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$ 9.84</FONT>&nbsp;</TD>

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

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(5.84)%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$12.02</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$ 8.97</FONT>&nbsp;</TD></TR>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$10.19</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(2.67)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$11.09</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$10.05</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

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

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/31/11</FONT>&nbsp;</TD>

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/31/11</FONT>&nbsp;</TD>

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

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

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

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

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

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

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

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

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>47</FONT>&nbsp;</TD>

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

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

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

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

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

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

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

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

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

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

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

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

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

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<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 7</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Fund Summary </FONT><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=2>as of August 31, 2011 </FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=2>BlackRock Floating Rate Income Strategies Fund, Inc.</FONT><BR><BR><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Investment Objective</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>BlackRock Floating Rate Income Strategies Fund, Inc.&#8217;s (FRA) (the &#8220;Fund&#8221;) </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>investment objective is to provide shareholders with high current income and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>such preservation of capital as is consistent with investment in a diversified, leveraged portfolio consisting primarily of floating rate debt securities and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>instruments. The Fund seeks to achieve its investment objective by investing, under normal market conditions, at least 80% of its assets in floating rate debt</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>securities, including floating or variable rate debt securities that pay interest at rates that adjust whenever a specified interest rate changes and/or which</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>reset on predetermined dates (such as the last day of a month or calendar quarter). The Fund invests a substantial portion of its investments in floating rate</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>debt securities consisting of secured or unsecured senior floating rate loans that are rated below investment grade. The Fund may invest directly in such</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>securities or synthetically through the use of derivatives.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>No assurance can be given that the Fund&#8217;s investment objective will be achieved.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Portfolio Management Commentary</FONT><BR><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=1>How did the Fund perform?</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>For the 12 months ended August 31, 2011, the Fund returned (2.91)%</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>based on market price and 4.04% based on NAV. For the same period, the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>closed-end Lipper Loan Participation Funds category posted an average</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>return of 1.16% based on market price and 3.79% based on NAV. All</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>returns reflect reinvestment of dividends. The Fund moved from a premium</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>to NAV to a discount by period-end, which accounts for the difference</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>between performance based on price and performance based on NAV. The</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>following discussion relates to performance based on NAV.</FONT><BR><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=1>What factors influenced performance?</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Positive Fund performance was predominantly driven by security selection</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>within the higher-quality tiers of the market. Security selection continued to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>reflect the higher-quality bias the Fund has employed over the last two</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>years, which has focused on sectors classified as &#8220;recession-resistant&#8221; and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>not heavily reliant on a strong consumer, such as chemicals and non-cap-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>tive diversified (industrials). The Fund&#8217;s exposure to high yield bonds was</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>another contributor to performance as the asset class performed well over</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the period.</FONT><BR><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Toward the end of 2010, the market was priced for slow-but-modest growth.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Credit fundamentals had materially improved and refinancing was easier for</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>non-investment grade issuers given a robust capital market. Default activity</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>was muted and expected to remain benign throughout 2011. In this<BR></FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>environment, lower-quality loans staged a significant rally and managed to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>outperform their higher-quality counterparts. Therefore, the Fund&#8217;s limited</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>exposure to low-quality credits negatively impacted returns.</FONT><BR><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=1>Describe recent portfolio activity.</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>During the period, the Fund did not deviate from its higher quality bias in</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>terms of loan structure, overall credit quality and liquidity. This focus was</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>even more pressing in 2011, when loans traded close to par and gave</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>investors no incentive to forgo credit quality in order to pick up yield. Prior</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>to the correction in the last month of the period, when fund management</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>believed market conditions were weakening, fund management sold some</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of the Fund&#8217;s lower-quality securities, therefore raising the cash reserve</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>level. Becoming more conservative overall, fund management continued to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>navigate the market for deals, targeting issuers with superior credit funda-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>mentals (i.e., stable income streams and attractive downside protection).</FONT><BR><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=1>Describe portfolio positioning at period end.</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>At period end, the Fund held 81% of its total portfolio in floating rate loan</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>interests (bank loans) and 15% in corporate bonds, with the remainder in</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>asset-backed securities, other interests and common stocks. The Fund</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ended the period with leverage at 26% of its total managed assets.</FONT></P>

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

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>8 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=2>BlackRock Floating Rate Income Strategies Fund, Inc.</FONT>&nbsp;</TD></TR>

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

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

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

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

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

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

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Yield on Closing Market Price as of August 31, 2011 ($13.33)</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>1</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>6.93%</FONT>&nbsp;</TD></TR>

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

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$0.0770</FONT>&nbsp;</TD></TR>

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

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$0.9240</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Leverage as of August 31, 2011</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>26%</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>1 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The distribution rate is not constant and is subject to change.</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Represents loan outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrowings) minus the sum of lia-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>bilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and Risks of Leveraging on</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>page 12.<BR></FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The table below summarizes the changes in the Fund&#8217;s market price and NAV per share:</FONT></P>

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

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

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

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/31/11</FONT>&nbsp;</TD>

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

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

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

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

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

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$13.33</FONT>&nbsp;</TD>

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

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(8.76)%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$16.42</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$12.66</FONT>&nbsp;</TD></TR>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$14.04</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(2.23)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$15.31</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$13.80</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

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

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

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

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

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

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

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/31/11</FONT>&nbsp;</TD>

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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

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<TABLE cellSpacing=0 border=0>



<TR>

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

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

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

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

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

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/31/11</FONT>&nbsp;</TD>

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

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

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

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

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

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

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

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

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>49</FONT>&nbsp;</TD>

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

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

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

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

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

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

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

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

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

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

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

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

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

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

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 9</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Fund Summary </FONT><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=2>as of August 31, 2011 </FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=2>BlackRock Limited Duration Income Trust</FONT><BR><BR><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Investment Objective</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>BlackRock Limited Duration Income Trust&#8217;s (BLW) (the &#8220;Fund&#8221;) </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>investment objective is to provide current income and capital appreciation. The Fund seeks</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>to achieve its investment objective by investing primarily in three distinct asset classes:<BR></FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>intermediate duration, investment grade corporate bonds, mortgage-related securities and asset-backed securities and US Government and agency securities;</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>senior, secured floating rate loans made to corporate and other business entities; and</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>US dollar-denominated securities of US and non-US issuers rated below investment grade, and to a limited extent, in non-US dollar denominated</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>securities of non-US issuers rated below investment grade.<BR></FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Fund&#8217;s portfolio normally has an average portfolio duration of less than five years (including the effect of anticipated leverage), although it may be</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>longer from time to time depending on market conditions. The Fund may invest directly in such securities or synthetically through the use of derivatives.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>No assurance can be given that the Fund&#8217;s investment objective will be achieved.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Portfolio Management Commentary</FONT><BR><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=1>How did the Fund perform?</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>For the 12 months ended August 31, 2011, the Fund returned 2.77%</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>based on market price and 5.85% based on NAV. For the same period,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the closed-end Lipper High Current Yield Funds (Leveraged) category posted</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>an average return of 11.37% based on market price and 9.65% based on</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>NAV. All returns reflect reinvestment of dividends. The Fund's discount to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>NAV, which widened during the period, accounts for the difference between</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>performance based on price and performance based on NAV. The following</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>discussion relates to performance based on NAV.</FONT><BR><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=1>What factors influenced performance?</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Fund invests in high yield bonds, floating rate loan interests and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>investment grade bonds, whereas most funds in the Lipper category invest</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>primarily in high yield bonds. The largest detractor from performance for the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>period was the Fund&#8217;s allocation to bank loans and investment grade bonds,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>both of which underperformed high yield bonds for the 12-month period.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>During the period, the Fund maintained leverage at an average of 23%,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>which was below the average level for the Lipper category. This lower average</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>leverage detracted from Fund performance, as would be expected in a</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>rising market.</FONT><BR><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Lower-quality and higher-beta segments (those with higher sensitivity to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>market volatility) outperformed higher-quality and lower-beta segments for</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the period, despite a sharp reversal in August 2011. The Fund&#8217;s limited</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>exposure to high yield credits near the high end of the quality range helped</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>performance over the period, although an underexposure to lower-quality</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>credits slightly detracted.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=1>Describe recent portfolio activity.</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>During the first half of the period, the Fund shifted its overall positioning</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>from a more conservative stance to one that was more consistent with a</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>gradually improving economy. As the US economic outlook worsened and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the potential for contagion from the continued debt crisis in Europe</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>increased, Fund positioning once again became more conservative.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Specifically, the Fund reduced positions in more cyclical credits and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>increased exposure to market sectors with stronger assets and more</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>stable cash flows. These adjustments detracted from performance initially</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>but were positive for performance in the August sell-off.</FONT><BR><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=1>Describe portfolio positioning at period end.</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>At period end, the Fund held 40% of its total portfolio in high yield bonds,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>31% in floating rate loan interests (bank loans), 11% in US Government</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>sponsored agency securities and 10% in non-agency mortgage-backed</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>securities. The remainder of the portfolio was invested in asset-backed secu-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>rities, taxable municipal bonds, common stocks and other interests, while</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the Fund&#8217;s cash position was negligible. The Fund ended the period with</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>leverage at 29% of its total managed assets.</FONT></P>

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

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>10 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=2>BlackRock Limited Duration Income Trust</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

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

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

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

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Yield on Closing Market Price as of August 31, 2011 ($16.01)</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>1</FONT></SUP>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>7.68%</FONT>&nbsp;</TD></TR>

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

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$0.1025</FONT>&nbsp;</TD></TR>

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

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$1.2300</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Leverage as of August 31, 2011</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>29%</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>1 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Yield on closing market price is calculated by dividing the current annualized distribution per share by the closing market price. Past performance does not guarantee future results.</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The distribution rate is not constant and is subject to change.</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Represents reverse repurchase agreements outstanding as a percentage of total managed assets, which is the total assets of the Fund (including any assets attributable to borrow-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ing) minus the sum of liabilities (other than borrowings representing financial leverage). For a discussion of leveraging techniques utilized by the Fund, please see The Benefits and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Risks of Leveraging on page 12.<BR></FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The table below summarizes the changes in the Fund&#8217;s market price and NAV per share:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

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

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

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

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

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

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

<TR vAlign=bottom>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/31/11</FONT>&nbsp;</TD>

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

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

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

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

<TR vAlign=bottom>

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

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$16.01</FONT>&nbsp;</TD>

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

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(4.47)%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$18.40</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$14.30</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$16.52</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(1.61)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$17.75</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>$16.34</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

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

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

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

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

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

<TR vAlign=bottom>

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/31/11</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

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

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

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

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

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="69%"></TD>

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

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

<TR vAlign=bottom>

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/31/11</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

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

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>27</FONT>&nbsp;</TD>

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

   <TD align=left colSpan=3><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Includes US Government Sponsored Agency securities and US Treasury Obligations,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>which were deemed AAA/Aaa by the investment advisor.</FONT>&nbsp;</TD>

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

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

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

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 11</FONT></P>

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



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

<!--$$/page=--><A name="page_13"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>The Benefits and Risks of Leveraging</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Funds may utilize leverage to seek to enhance the yield and NAV.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>However, these objectives cannot be achieved in all interest rate</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>environments.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Funds may utilize leverage by borrowing through a credit facility or</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>through entering into reverse repurchase agreements. In general, the con-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>cept of leveraging is based on the premise that the financing cost of assets</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>to be obtained from leverage, which will be based on short-term interest</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>rates, will normally be lower than the income earned by each Fund on its</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>longer-term portfolio investments. To the extent that the total assets of each</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Fund (including the assets obtained from leverage) are invested in higher-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>yielding portfolio investments, each Fund&#8217;s shareholders will benefit from</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the incremental net income.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The interest earned on securities purchased with the proceeds from lever-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>age is paid to shareholders in the form of dividends, and the value of these</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>portfolio holdings is reflected in the per share NAV. However, in order to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>benefit shareholders, the yield curve must be positively sloped; that is,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>short-term interest rates must be lower than long-term interest rates. If the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>yield curve becomes negatively sloped, meaning short-term interest rates</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>exceed long-term interest rates, income to shareholders will be lower than if</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the Funds had not used leverage.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>To illustrate these concepts, assume a Fund&#8217;s capitalization is $100 million</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and it borrows for an additional $30 million, creating a total value of $130</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>million available for investment in long-term securities. If prevailing short-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>term interest rates are 3% and long-term interest rates are 6%, the yield</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>curve has a strongly positive slope. In this case, the Fund pays borrowing</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>costs and interest expense on the $30 million of borrowings based on the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>lower short-term interest rates. At the same time, the securities purchased</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>by the Fund with assets received from the borrowings earn income based</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>on long-term interest rates. In this case, the borrowing costs and interest</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>expense of the borrowings is significantly lower than the income earned</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>on the Fund&#8217;s long-term investments, and therefore the Fund&#8217;s shareholders</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>are the beneficiaries of the incremental net income.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>If short-term interest rates rise, narrowing the differential between short-term</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and long-term interest rates, the incremental net income pickup will be</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>reduced or eliminated completely. Furthermore, if prevailing short-term</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>interest rates rise above long-term interest rates, the yield curve has a</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>negative slope. In this case, the Fund pays higher short-term interest rates</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>whereas the Fund&#8217;s total portfolio earns income based on lower long-term</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>interest rates.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Furthermore, the value of the Funds&#8217; portfolio investments generally varies</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>inversely with the direction of long-term interest rates, although other</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>factors can influence the value of portfolio investments. In contrast, the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>redemption value of the Funds&#8217; borrowings does not fluctuate in relation</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>to interest rates. As a result, changes in interest rates can influence the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Funds&#8217; NAV positively or negatively in addition to the impact on Fund</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>performance from leverage from borrowings discussed above.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The use of leverage may enhance opportunities for increased income to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the Funds, but as described above, it also creates risks as short- or long-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>term interest rates fluctuate. Leverage also will generally cause greater</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>changes in the Funds&#8217; NAVs, market prices and dividend rates than comp-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>arable portfolios without leverage. If the income derived from securities</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>purchased with assets received from leverage exceeds the cost of leverage,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the Funds&#8217; net income will be greater than if leverage had not been used.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Conversely, if the income from the securities purchased is not sufficient to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>cover the cost of leverage, each Fund&#8217;s net income will be less than if lever-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>age had not been used, and therefore the amount available for distribution</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>to shareholders will be reduced. Each Fund may be required to sell portfo-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>lio securities at inopportune times or at distressed values in order to com-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ply with regulatory requirements applicable to the use of leverage or as</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>required by the terms of leverage instruments, which may cause a Fund to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>incur losses. The use of leverage may limit each Fund&#8217;s ability to invest in</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>certain types of securities or use certain types of hedging strategies. Each</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Fund will incur expenses in connection with the use of leverage, all of which</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>are borne by shareholders and may reduce income.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Under the Investment Company Act of 1940, the Funds are permitted</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>to borrow through their credit facility or by entering into reverse repurchase</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>agreements up to 33</FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><SUP> 1 </SUP>/<SUB> 3 </SUB></FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>% of their total managed assets. As of August 31,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>2011, the Funds had outstanding leverage from borrowings as a percent-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>age of their total managed assets as follows:</FONT></P>

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

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

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

<TR vAlign=bottom>

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

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

<TR vAlign=bottom>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>27%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>27%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>26%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>29%</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

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

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>12 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Defined Opportunity Credit Trust (BHL)</FONT><BR>Schedule of Investments </FONT><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=2>August 31, 2011 <BR></FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(Percentages shown are based on Net Assets)</FONT></P>

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<TR>

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

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

   <TD width="10%"></TD>

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

<TR vAlign=bottom>

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

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

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

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

<TR vAlign=bottom>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ARES CLO Funds, Series 2005-10A, Class B,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.64%, 9/18/17 (a)(b)</FONT>&nbsp;</TD>

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

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 222,767</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.73%, 6/19/21 (a)(b)</FONT>&nbsp;</TD>

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

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>276,811</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.60%, 9/20/19 (a)(b)</FONT>&nbsp;</TD>

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

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>807,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.65%, 12/20/20 (a)(b)</FONT>&nbsp;</TD>

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

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>400,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gannett Peak CLO Ltd., Series 2006-1X, 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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.61%, 10/27/20 (b)</FONT>&nbsp;</TD>

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

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>198,088</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2007-1A, Class B, 0.70%, 8/01/22 (a)(b)</FONT>&nbsp;</TD>

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

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>430,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.61%, 10/19/20 (a)(b)</FONT>&nbsp;</TD>

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

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>405,261</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.20%, 12/21/17 (a)(b)</FONT>&nbsp;</TD>

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

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>230,334</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.74%, 11/15/21 (b)</FONT>&nbsp;</TD>

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

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>311,990</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.85%, 7/15/19 (a)(b)</FONT>&nbsp;</TD>

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>267,960</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Asset-Backed Securities &#8212; 3.0%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,551,361</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Capital Markets &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>E*Trade Financial Corp.</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>16,300</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>201,468</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Hotels, Restaurants &amp; Leisure &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>21,020</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>208,456</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Software &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>53,267</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>106,534</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Common Stocks &#8212; 0.4%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>516,458</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

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

<TR vAlign=bottom>

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

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

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

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

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Airlines &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Air Canada, 9.25%, 8/01/15 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>210</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>201,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delta Air Lines, Inc., Series B, 9.75%, 12/17/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>209</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>213,942</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>415,542</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Auto 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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Icahn Enterprises LP, 7.75%, 1/15/16</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,125</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,136,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Chemicals &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CF Industries, Inc., 6.88%, 5/01/18</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>415</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>470,506</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Commercial Banks &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CIT Group, Inc.:</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 5/01/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>140</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>139,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 5/01/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>180</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>179,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 5/01/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>808</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>797,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 5/02/17 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>130</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>128,375</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,244,675</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Commercial Services &amp; Supplies &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (a)</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>453</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>437,292</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Consumer Finance &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Inmarsat Finance Plc, 7.38%, 12/01/17 (a)</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>325</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>338,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

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

   <TD width="5%"></TD>

   <TD width="10%"></TD>

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

<TR vAlign=bottom>

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

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

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

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

<TR vAlign=bottom>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Containers &amp; Packaging &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Berry Plastics Corp., 8.25%, 11/15/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>700</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 721,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Graphic Packaging International, Inc., 9.50%, 6/15/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>100</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>108,750</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>829,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Financial 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 align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ally Financial, Inc., 2.45%, 12/01/14 (b)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,025</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>960,535</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FCE Bank Plc, 7.13%, 1/15/13</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>50</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>72,005</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Reynolds Group Issuer, Inc. (a):</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.13%, 4/15/19</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>245</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>232,137</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.88%, 8/15/19</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>100</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>99,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.88%, 2/15/21</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>185</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>172,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,535,727</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Telecommunication 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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ITC Deltacom, Inc., 10.50%, 4/01/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>140</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>143,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Qwest Communications International, Inc., Series B,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.50%, 2/15/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>347</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>351,337</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>494,837</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Electronic Equipment, Instruments &amp; Components &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CDW LLC, 8.00%, 12/15/18 (a)</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>170</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>168,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Health Care Providers &amp; Services &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>HCA, Inc.:</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.50%, 2/15/20</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>535</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>541,019</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.25%, 9/15/20</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>670</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>688,425</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.50%, 2/15/22</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>130</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>128,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,358,144</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>IMS Health, Inc., 12.50%, 8/26/17 (a)</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>850</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>977,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Hotels, Restaurants &amp; Leisure &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MGM Resorts International, 11.13%, 11/15/17</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>240</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>267,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Household Durables &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Beazer Homes USA, Inc., 12.00%, 10/15/17</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>715</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>725,725</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>IT Services &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>First Data Corp., 7.38%, 6/15/19 (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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>376,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Independent Power Producers &amp; Energy Traders &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Energy Future Holdings Corp., 10.00%, 1/15/20</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>400</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>401,548</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Energy Future Intermediate Holding Co. LLC,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10.00%, 12/01/20</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,325</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,336,754</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,738,302</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Media &#8212; 1.9%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>AMC Networks, Inc., 7.75%, 7/15/21 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>105</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>108,675</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CCH II LLC, 13.50%, 11/30/16</FONT>&nbsp;</TD>

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

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>577,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Clear Channel Worldwide Holdings, Inc.:</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.25%, 12/15/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>185</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>196,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series B, 9.25%, 12/15/17</FONT>&nbsp;</TD>

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

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>909,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unitymedia Hessen GmbH &amp; Co. KG (FKA UPC</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Germany GmbH), 8.13%, 12/01/17 (a)</FONT>&nbsp;</TD>

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>510,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,301,775</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Metals &amp; Mining &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FMG Resources August 2006 Property Ltd.,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 11/01/15 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>550</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>548,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Novelis, Inc., 8.38%, 12/15/17</FONT>&nbsp;</TD>

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>443,975</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>992,600</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

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

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

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

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

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

<TR vAlign=bottom>

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

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

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

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

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

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>To simplify the listings of portfolio holdings in the</FONT>&nbsp;</TD>

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

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

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

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

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Schedules of Investments, the names and descriptions of</FONT>&nbsp;</TD>

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

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

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

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

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>many of the securities have been abbreviated according</FONT>&nbsp;</TD>

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

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

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

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

<TR vAlign=bottom>

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

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

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

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

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

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

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 13</FONT></P>

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



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

<!--$$/page=--><A name="page_15"></A><BR>

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

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

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

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

   <TD width="10%"></TD>

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

<TR vAlign=bottom>

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

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

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

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

<TR vAlign=bottom>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Oil, Gas &amp; Consumable Fuels &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Alpha Natural Resources, Inc.:</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.00%, 6/01/19</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>170</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 166,175</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.25%, 6/01/21</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>305</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>298,519</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Coffeyville Resources LLC, 9.00%, 4/01/15 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>126</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>133,560</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>598,254</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Paper &amp; Forest Products &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Longview Fibre Paper &amp; Packaging, Inc.,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.00%, 6/01/16 (a)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>155</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>153,450</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Verso Paper Holdings LLC, 11.50%, 7/01/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>180</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>190,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>344,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Valeant Pharmaceuticals 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: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.50%, 7/15/16 (a)</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>575</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>546,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Wireless Telecommunication Services &#8212; 1.2%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cricket Communications, Inc., 7.75%, 5/15/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,125</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,139,063</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Nextel Communications, Inc., Series E, 6.88%, 10/31/13</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>273,281</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,412,344</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Corporate Bonds &#8212; 15.7%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>18,709,623</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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>

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

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Aerospace &amp; Defense &#8212; 1.7%</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 colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DynCorp International LLC, Term Loan B, 6.25%, 7/05/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>404</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>384,510</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>SI Organization, Inc., New Term Loan B, 4.50%, 11/22/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>421</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>378,563</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>TransDigm, Inc., Term Loan (First Lien), 4.00%, 2/14/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>846</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>811,920</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Wesco Aircraft Hardware Corp., Term Loan B,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.25%, 4/07/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>419</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>404,997</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,979,990</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Airlines &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delta Air Lines, Inc., Credit &#8212; New Term Loan B,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.50%, 4/20/17</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,150</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,059,920</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Auto Components &#8212; 2.5%</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 colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Allison Transmission, Inc., Term Loan, 2.96%, 8/07/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,709</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,602,133</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Autoparts Holdings, Ltd., 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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.50%, 7/28/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>650</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>637,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 2.16%, 12/29/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>276</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>250,333</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan C, 2.15%, 12/28/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>141</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>127,633</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>UCI International, Inc., Term Loan, 5.50%, 7/26/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>348</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>338,238</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,955,337</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Automobiles &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ford Motor Co.:</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche B-1 Term Loan, 2.96%, 12/16/13</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>522</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>512,922</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche B-2 Term Loan, 2.96%, 12/16/13</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,581</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>521,503</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Biotechnology &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Grifols SA, Term Loan B, 6.00%, 6/01/17</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>420</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>409,920</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Building Products &#8212; 3.4%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Armstrong World Industries, Inc., Term Loan B,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.00%, 3/09/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>449</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>421,382</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CPG International I, Inc., Term Loan B, 6.00%, 2/18/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>796</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>744,260</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Goodman Global, Inc., Initial Term Loan (First Lien),</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.75%, 10/28/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,154</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,117,449</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Momentive Performance Materials (Blitz 06-103 GmbH),</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche B-2B Term Loan, 4.79%, 5/05/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>566</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>729,382</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,012,473</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="71%"></TD>

   <TD width="10%"></TD>

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Capital Markets &#8212; 1.8%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>American Capital Ltd., Term Loan B, 7.50%, 12/31/13 USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>229</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 222,357</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>HarbourVest Partners, Term Loan (First Lien),</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.25%, 12/14/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>906</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>878,829</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Nuveen Investments, Inc. (First Lien):</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.25%, 11/13/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>391</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>361,360</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.75% &#8211; 5.81%, 5/12/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>782</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>730,816</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,193,362</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Chemicals &#8212; 6.3%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>American Rock Salt Holdings LLC, Term Loan,</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.50%, 4/25/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>603</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>578,594</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Arizona Chemical Co., LLC, Term Loan B,</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.75%, 11/21/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>204</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>196,527</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ashland, Inc., Term Loan B, 3.75%, 7/30/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>550</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>537,724</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>733,747</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gentek, Inc., Term Loan B, 5.00% &#8211; 5.75%, 10/06/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>683</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>637,739</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MDI Holdings LLC (FKA MacDermid, 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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.26%, 4/11/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>450</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>430,303</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Nexeo Solutions, LLC, Term Loan B, 5.00%, 9/08/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>574</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>528,153</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>PQ Corp. (FKA Niagara Acquisition, Inc.), Original Term</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Loan (First Lien), 3.48% &#8211; 3.51%, 7/30/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>641</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>585,672</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Styron Sarl, Term Loan B, 6.00%, 8/02/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>835</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>767,066</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tronox Worldwide LLC, Exit Term Loan, 7.00%, 10/15/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,368</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,352,734</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Univar, Inc., Term Loan B, 5.00%, 6/30/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,194</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,101,763</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,450,022</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Commercial Services &amp; Supplies &#8212; 4.1%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Letter of Credit &#8212; 1 Facility, 2.06%, 1/27/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,842</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Letter of Credit &#8212; 2 Facility, 3.44%, 7/26/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,963</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>US Term Loan, 2.12%, 1/27/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>116</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>109,757</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>US Term Loan B, 3.50%, 7/26/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>211</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>197,109</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>AWAS Finance Luxembourg Sarl, Term Loan B,</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.25%, 6/10/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>282</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>271,081</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Adesa Inc. (KAR Holdings, Inc.), Initial Term Loan B,</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.00%, 5/19/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,200</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,140,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Altegrity, Inc. (FKA US Investigations Services, Inc.),</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche D Term Loan, 7.75%, 2/20/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>697</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>678,397</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>819,497</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Synagro Technologies, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.21% &#8211; 2.23%, 4/02/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>870</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>755,643</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Volume Services America, Inc. (Centerplate),</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 10.50% &#8211; 10.75%, 9/16/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>496</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>474,748</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>West Corp., Term Loan B, 4.50%, 7/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>397</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>376,214</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,844,251</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Communications Equipment &#8212; 1.8%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 3.06%, 10/24/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>450</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>400,485</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-3, 4.81%, 10/26/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>905</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>779,308</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CommScope, Inc., Term Loan B, 5.00%, 1/14/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>998</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>957,600</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=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,137,393</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Construction &amp; Engineering &#8212; 0.9%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BakerCorp., Inc., Term Loan B, 5.00%, 6/01/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>340</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>323,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Safway Services, LLC, First Out Tranche Loan,</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.00%, 12/16/17</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>750,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,073,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Consumer Finance &#8212; 1.9%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Springleaf Financial Funding Co. (FKA AGFS</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Funding Co.), Term Loan, 5.50%, 5/10/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,450</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,269,312</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Containers &amp; Packaging &#8212; 1.3%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Anchor Glass Container Corp., Term Loan (First Lien),</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.00%, 3/02/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>148</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>145,947</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Berry Plastics Holding Corp., Term Loan C,</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.21%, 4/03/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>503</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>447,606</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Graham Packaging Co., LP, Term Loan D, 6.00%, 9/23/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>993</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>982,575</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=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,576,128</FONT>&nbsp;</TD></TR></TABLE></DIV>

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

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>14 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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



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

<!--$$/page=--><A name="page_16"></A><BR>

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

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

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

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

   <TD width="10%"></TD>

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

<TR vAlign=bottom>

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

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

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

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

<TR vAlign=bottom>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Consumer Services &#8212; 3.4%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Coinmach Laundry Corp., Delayed Draw Term Loan,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.22%, 11/20/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>244</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 212,594</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Coinmach Service Corp., Term Loan,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.22% &#8211; 3.30%, 11/20/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,101</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>958,228</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Laureate Education, 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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.25%, 8/15/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,965</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,735,386</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Closing Date Term Loan, 2.69% &#8211; 2.76%, 7/24/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>108</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>99,941</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delayed Draw Term Loan, 2.72%, 7/24/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,086</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,003,570</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,009,719</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Financial Services &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Reynolds Group Holdings, Inc., Term Loan E,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.25%, 2/09/18</FONT>&nbsp;</TD>

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,237</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,179,693</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Telecommunication Services &#8212; 4.6%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Hawaiian Telcom Communications, Inc., Term Loan,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.00%, 11/01/15 (d)</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>655</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>653,971</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Integra Telecom Holdings, Inc., Term Loan,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.25%, 4/15/15</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>817</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>768,766</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 3 Financing, Inc.:</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Incremental Tranche A Term Loan,</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.49% &#8211; 2.50%, 3/13/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,200</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,108,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 11.50%, 3/13/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>550</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>571,543</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B2, 2.49%, 9/03/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,800</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,696,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>US Telepacific Corp., Term Loan B, 5.75%, 2/23/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>748</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>720,256</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,519,836</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Electronic Equipment, Instruments &amp; Components &#8212; 2.2%</FONT>&nbsp;</TD>

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

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

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Aeroflex Inc., Term Loan B, 4.25%, 5/09/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>650</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>601,790</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CDW LLC (FKA CDW Corp.):</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Extended Term Loan B, 4.25%, 7/14/17</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>516</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>467,855</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Non-Extended Term Loan, 3.71%, 10/10/14</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>631</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>593,081</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sensata Technologies Finance Company, LLC, New Term</FONT>&nbsp;</TD>

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Loan, 4.00%, 5/11/18</FONT>&nbsp;</TD>

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>950</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>913,187</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,575,913</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Energy Equipment &amp; Services &#8212; 2.6%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CCS Corp., Tranche B Term Loan, 3.25%, 11/14/14</FONT>&nbsp;</TD>

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

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

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>665,171</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

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

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

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

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

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Coal Co. Term Loan, 9.25%, 8/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>318</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>307,134</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gas Co. Term Loan, 9.25%, 8/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>582</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>571,815</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MEG Energy Corp., Tranche D Term Loan, 4.00%, 3/16/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,550</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,482,188</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,026,308</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Food &amp; Staples Retailing &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>AB Acquisitions UK Topco 2 Ltd. (FKA Alliance Boots),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Facility B1, 3.61%, 7/09/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>900</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,256,098</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bolthouse Farms, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.50% &#8211; 5.75%, 2/11/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>228</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>221,791</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>US 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: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New Term Loan B, 5.75%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>100</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>92,767</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 2.71% &#8211; 2.72%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,018</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>911,184</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,481,840</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Food Products &#8212; 4.2%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Advance Pierre Foods, Term Loan (Second Lien):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 9/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>953</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>921,243</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>11.25%, 9/29/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>490,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Del Monte Corp., Term Loan B, 4.50%, 3/08/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,345</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,210,163</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Michaels Foods Group, Inc. (FKA M-Foods</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Holdings, Inc.), Term Loan B, 4.25%, 2/23/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>131</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>125,108</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Pinnacle Foods Finance LLC, Tranche D Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.00%, 4/02/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>532</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>524,256</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Solvest, Ltd. (Dole):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche B-1 Term Loan, 5.00% &#8211; 6.00%, 7/06/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>282</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>271,325</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche C-1 Term Loan, 5.00% &#8211; 6.00%, 7/06/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>523</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>503,890</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,045,985</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="62%"></TD>

   <TD width="8%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Health Care Equipment &amp; Supplies &#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 align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Biomet, Inc., Dollar Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.22% &#8211; 3.25%, 3/25/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>315</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 298,935</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DJO Finance LLC (FKA ReAble Therapeutics Finance LLC),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 3.22%, 5/20/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>428</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>399,063</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Iasis Healthcare LLC, Term Loan, 5.00%, 5/03/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>797</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>735,065</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Immucor, Inc., Term Loan B, 7.25%, 8/17/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>495</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>477,368</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,910,431</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Health Care Providers &amp; Services &#8212; 5.4%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CHS/Community Health Systems, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delayed Draw Term Loan, 2.47% &#8211; 2.57%, 7/25/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>37</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>34,323</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Extended Term Loan B, 3.72% &#8211; 3.82%, 1/25/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>80</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>73,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Non Extended Term Loan, 2.47% &#8211; 2.57%, 7/25/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>727</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>674,129</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ConvaTec, Inc., Dollar Term Loan, 5.75%, 12/22/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>597</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>563,168</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DaVita, Inc., Tranche B Term Loan, 4.50%, 10/20/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>896</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>868,635</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Emergency Medical Services, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.25% &#8211; 6.00%, 5/25/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>858</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>793,419</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>HCA, Inc., Tranche B-1 Term Loan, 3.50%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>380</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>356,618</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Harden Healthcare, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche A Additional Term Loan, 7.75%, 3/02/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>521</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>511,013</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche A Term Loan, 8.50%, 3/02/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>346</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>339,127</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>inVentiv Health, Inc. (FKA Ventive Health, Inc.):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Incremental Term Loan B3, 6.75%, 5/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>300</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>282,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 6.50%, 8/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>863</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>814,174</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Medpace, Inc., Term Loan, 6.50%, 6/22/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>550</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>522,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Renal Advantage Holdings, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.75%, 12/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>597</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>584,564</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,416,770</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>IMS Health, Inc., Tranche B Dollar Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.50%, 8/25/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>556</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>532,874</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MedAssets, Inc., Term Loan B, 5.25%, 11/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>402</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>380,116</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>912,990</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Hotels, Restaurants &amp; Leisure &#8212; 7.8%</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 colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ameristar Casinos, Inc., Term Loan B, 4.00%, 4/13/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>698</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>670,320</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Caesars Entertainment Operating Co., Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Incremental Term Loan B4, 9.50%, 10/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>266</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>265,595</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-1, 3.25%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>175</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>150,719</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-2, 3.22% &#8211; 3.25%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>145</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>124,926</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-3, 3.25%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,463</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,120,143</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Dunkin' Brands, Inc., New Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.00%, 11/23/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,049</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,007,835</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Golden Living, Term Loan, 5.00%, 5/04/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>840</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>745,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Las Vegas Sands LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delayed Draw Term Loan, 1.72%, 5/23/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>91</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>84,344</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 1.72%, 5/23/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>359</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>334,560</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Penn National Gaming, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.75%, 7/16/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>175</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>170,188</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>SeaWorld Parks &amp; Entertainment, Inc. (FKA SW</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Acquisitions Co., Inc.), Term Loan B, 4.00%, 8/17/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>807</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>778,568</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Six Flags Theme Parks, Inc., Tranche B Term Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(First Lien), 5.25%, 6/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>727</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>709,218</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Twin River Worldwide Holdings, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.50%, 11/05/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>554</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>549,615</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>VML US Finance LLC (FKA Venetian Macau):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New Project Term Loan, 4.73%, 5/27/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>269</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>266,321</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term B Delayed Draw Project Loan, 4.73%, 5/25/12</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>480</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>474,931</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term B Funded Project Loan, 4.73%, 5/27/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>836</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>825,722</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,278,505</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Visant Corp. (FKA Jostens), Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.25%, 12/22/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>37</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>33,289</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 15</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_17"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Defined Opportunity Credit Trust (BHL)</FONT><BR>Schedule of Investments (continued) <BR></FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(Percentages shown are based on Net Assets)</FONT></P>

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<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="65%"></TD>

   <TD width="5%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>IT Services &#8212; 4.7%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ceridian Corp., US Term Loan, 3.22%, 11/10/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>792</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 676,838</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>First Data Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Extended Term Loan B, 4.22%, 3/23/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,012</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,521,207</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Initial Tranche B-1 Term Loan, 2.97%, 9/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>113</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>99,609</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Initial Tranche B-3 Term Loan, 2.97%, 9/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>149</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>131,048</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>infoGROUP, Inc., Term Loan, 5.75%, 5/22/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>346</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>317,152</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>iPayment, Inc., Term Loan B, 5.75%, 5/08/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>505</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>477,572</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>TransUnion LLC, Replacement Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.75%, 2/12/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,465</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,389,093</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,612,519</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Independent Power Producers &amp; Energy Traders &#8212; 3.9%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The AES Corp., Term Loan B, 4.25%, 6/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>998</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>958,099</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Calpine Corp., Term Loan B, 4.50%, 4/02/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,770</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,631,555</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Texas Competitive Electric Holdings Co., LLC (TXU),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Extended Term Loan, 4.71% &#8211; 4.77%, 10/10/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,734</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,006,990</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,596,644</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Industrial Conglomerates &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sequa Corp., Term Loan, 3.50% &#8211; 3.51%, 12/03/14</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,763</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,647,076</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Insurance &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CNO Financial Group, Inc., Term Loan, 6.25%, 9/30/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>988</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>965,870</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Machinery &#8212; 1.7%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Navistar Financial Corp., Term Loan B, 4.50%, 12/16/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>372</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>361,925</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Terex Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 6.03%, 4/28/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>60</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>85,901</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 5.50%, 4/28/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>489,975</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tomkins Plc, Term Loan A, 4.25%, 9/29/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,184</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,139,618</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,077,419</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Marine &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Horizon Lines, LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Revolving Loan, 0.50% &#8211; 6.30%, 8/08/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>285</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>277,454</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 6.25%, 8/08/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>120</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>115,927</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>393,381</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Media &#8212; 20.1%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>AMC Networks, Inc., Term Loan B, 4.00%, 12/31/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>800</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>771,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Acosta, Inc., Term Loan, 4.75%, 3/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>938</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>884,326</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Affinion Group, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.00%, 7/16/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>739</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>665,676</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Atlantic Broadband Finance, LLC, Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.00%, 3/08/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>448</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>423,861</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bresnan Telecommunications Co. LLC, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.50%, 12/14/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,443</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,376,802</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Capsugel Healthcare Ltd., Term Loan, 5.25%, 8/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>600</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>579,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Catalina Marketing Corp., Term Loan B, 2.97%, 10/01/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>105</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>96,022</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cengage Learning Acquisitions, Inc. (Thomson Learning):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 2.50%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,008</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>833,696</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche 1 Incremental Term Loan, 7.50%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>373</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>356,334</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cequel Communications LLC, New Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.21%, 11/05/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>528</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>502,934</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Charter Communications Operating, LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 7.25%, 3/06/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,330</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan C, 3.50%, 9/06/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,602</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,525,029</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Clarke American Corp., Term Facility B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.72% &#8211; 2.75%, 6/30/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>453</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>375,832</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Clear Channel Communications, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.87%, 1/28/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>995</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>744,698</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cumulus Media, Inc., Term Loan, 5.75%, 8/30/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>550</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>514,937</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Getty Images, Inc., Initial Term Loan, 5.25%, 11/07/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>221</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>215,999</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gray Television, Inc., Term Loan B, 3.71%, 12/31/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>559</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>510,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>HMH Publishing Co., Ltd., Tranche A Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.21%, 6/12/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>609</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>489,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Hubbard Broadcasting, Term Loan B (Second Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.25%, 4/28/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>475,835</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Intelsat Jackson Holdings S.A. (FKA Intelsat Jackson</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Holdings, Ltd.), Tranche B Term Loan, 5.25%, 4/02/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,993</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,865,319</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="65%"></TD>

   <TD width="5%"></TD>

   <TD align=middle width="10%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interactive Data Corp., New Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.50%, 2/12/18</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,322</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 1,249,827</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Knology, Inc., Term Loan B, 4.00%, 8/18/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>247</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>234,064</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Lavena Holding 3 GmbH (Prosiebensat.1 Media AG):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Facility B1, 4.20%, 3/06/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>460</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>513,086</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Facility C1, 4.45%, 3/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>460</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>516,393</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Mediacom Illinois, LLC (FKA 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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>LLC), Tranche D Term Loan, 5.50%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>198</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>189,076</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Mediacom LLC, Term Loan E (FKA Mediacom</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Communications, LLC), 4.50%, 10/23/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>495</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>459,731</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Newsday LLC, Fixed Rate Term Loan:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.50%, 8/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>500,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10.50%, 8/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>800</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>826,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Nielsen Finance LLC, Class B Dollar Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.96%, 5/02/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>637</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>598,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sinclair Television Group, Inc., New Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.00%, 10/28/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>338</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>333,333</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sunshine Acquisition Ltd. (FKA HIT Entertainment),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Facility, 5.51%, 6/01/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,012</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>973,245</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>UPC Broadband Holding B.V., Term U, 5.44%, 12/31/17 EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>980</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,316,631</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Univision Communications, Inc., Extended First Lien</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 4.47%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>813</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>698,890</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>WC Luxco Sarl, New Term Loan B3, 4.25%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>219</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>210,536</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Weather Channel, Term Loan B, 4.25%, 2/13/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,042</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,003,910</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>23,844,427</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Metals &amp; Mining &#8212; 2.9%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Novelis, Inc., Term Loan, 3.75%, 3/10/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,328</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,254,482</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>SunCoke Energy, Inc., Term Loan B, 4.00%, 7/26/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>450</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>427,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Walter Energy, Inc., Term Loan B, 4.00%, 4/02/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,794</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,713,258</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,395,240</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FirstLight Power Resources, Inc. (FKA NE Energy, Inc.),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term B Advance (First Lien), 2.75%, 11/01/13</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>184</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>174,528</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Multiline Retail &#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 align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Dollar General Corp., Tranche B-2 Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.96% &#8211; 2.97%, 7/07/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>316</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>306,077</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Hema Holding BV, Facility D, 6.43%, 1/05/17</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,800</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,344,378</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,650,455</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Oil, Gas &amp; Consumable Fuels &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EquiPower Resources Holdings, LLC, Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.75%, 1/26/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>723</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>693,356</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gibson Energy, Term Loan B, 5.75%, 6/14/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>800</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>756,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,017</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,006,813</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,456,169</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Paper &amp; Forest Products &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Georgia-Pacific LLC, Term Loan B, 2.32%, 12/21/12</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>545</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>541,001</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Pharmaceuticals &#8212; 2.5%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>995</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>897,490</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Endo Pharmaceuticals Holdings, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.00%, 6/18/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>600</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>586,878</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Quinteles Transnational Corp., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.00%, 6/08/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>595</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>551,863</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>RPI Finance Trust, Term Loan Tranche 2, 4.00%, 5/09/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>485,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Warner Chilcott Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-1, 4.25%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>319</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>305,835</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-2, 4.25%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>160</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>153,117</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,980,183</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Professional Services &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Booz Allen Hamilton, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.00%, 8/03/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>525</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>513,257</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fifth Third Processing Solutions, LLC, Term Loan B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(First Lien), 4.50%, 11/03/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>796</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>766,656</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,279,913</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>16 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



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<!--$$/page=--><A name="page_18"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Defined Opportunity Credit Trust (BHL)</FONT><BR>Schedule of Investments (continued) <BR></FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(Percentages shown are based on Net Assets)</FONT></P>

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<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="64%"></TD>

   <TD width="19%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Floating Rate Loan Interests (b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Real Estate Investment Trusts (REITs) &#8212; 0.8%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>iStar Financial, Inc., Term Loan (Second Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.00%, 6/28/13</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 1,016 </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>987,169</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Real Estate Management &amp; 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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Realogy Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delayed Draw Term Loan, 3.30%, 10/10/13</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>737</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>650,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Extended Synthetic Letter of Credit Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.44%, 10/10/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>32</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>25,963</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Extended Term Loan B, 4.52%, 10/10/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>809</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>666,207</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Letter of Credit, 3.19%, 10/10/13</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>30</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>26,655</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 3.27%, 10/10/13</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>240</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>211,620</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,580,570</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Road &amp; Rail &#8212; 0.3%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The Hertz Corp., Term Loan B, 3.75%, 3/09/18</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>349</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>330,796</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Semiconductors &amp; Semiconductor Equipment &#8212; 0.7%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Freescale Semiconductor, Inc., Extended Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.44%, 12/01/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>440</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>400,216</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Microsemi Corp., Term Loan B, 4.00%, 11/02/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>498</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>474,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>874,916</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Software &#8212; 0.6%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Rovi Corp., Tranche B Term Loan, 4.00%, 2/07/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>449</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>431,670</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Vertafore, Inc., Term Loan B, 5.25%, 7/29/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>308</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>293,413</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=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>725,083</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Specialty Retail &#8212; 4.8%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Academy Ltd., Term Loan, 6.00%, 8/03/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>800</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>759,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Burlington Coat Factory 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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.25%, 2/23/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>444</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>418,824</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>General Nutrition Centers, 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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.25%, 3/02/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,125</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,061,719</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>J. Crew Group, Inc., Term Loan B, 4.75%, 3/07/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>374</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>333,151</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Jo-Ann Stores, Inc., Term Loan B, 4.75%, 3/16/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>294</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>273,420</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Michaels Stores, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-1, 2.50%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>334</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>315,942</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-2, 4.75%, 7/31/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>641</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>603,013</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Petco Animal Supplies, 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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.50%, 11/24/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,089</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,023,660</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Toys &#8216;R&#8217; Us Delaware, Inc., Initial Loan, 6.00%, 9/01/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>911</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>853,770</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,642,899</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Wireless Telecommunication Services &#8212; 2.0%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Digicel International Finance Ltd., US Term Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(Non-Rollover), 2.75%, 3/30/12</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>469</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>462,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MetroPCS Wireless, Inc., 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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.07%, 11/04/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>769</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>719,140</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Initial Loan, 6.88%, 8/11/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>803</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>806,759</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 6.25%, 7/11/16 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>402,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,390,149</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Floating Rate Loan Interests &#8212; 117.8%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>140,020,297</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Beneficial</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interest</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Other Interests (e)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Auto Components &#8212; 0.7%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delphi Debtor-in-Possession Holding Co. LLP, Class B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Membership Interests</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;(f)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>869,044</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Other Interests &#8212; 0.7%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>869,044</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Long-Term Investments</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(Cost &#8212; $169,251,866) &#8212; 137.6%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>163,666,783</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="64%"></TD>

   <TD width="15%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Short-Term Securities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Shares</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock Liquidity Funds, TempFund, Institutional</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Class, 0.07% (g)(h)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,230,753</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 2,230,753</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Short-Term Securities</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(Cost &#8212; $2,230,753) &#8212; 1.9%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,230,753</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Investments (Cost &#8212; $171,482,619*) &#8212; 139.5%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>165,897,536</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Liabilities in Excess of Other Assets &#8212; (39.5)%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(47,000,641)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net Assets &#8212; 100.0%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$118,896,895</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>* The cost and unrealized appreciation (depreciation) of investments as of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>August 31, 2011, as computed for federal income tax purposes, were as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="57%"></TD>

   <TD width="42%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Aggregate cost</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$171,460,615</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gross unrealized appreciation</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 1,938,490</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gross unrealized depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(7,501,569)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net unrealized depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (5,563,079)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>(a) Security exempt from registration under Rule 144A of the Securities Act of 1933.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>These securities may be resold in transactions exempt from registration to qualified</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>institutional investors.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(b) Variable rate security. Rate shown is as of report date.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(c) Non-income producing security.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(d) Represents a payment-in-kind security which may pay interest/dividends in</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>additional face/shares.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(e) Other interests represent beneficial interest in liquidation trusts and other</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>reorganization entities and are non-income producing.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(f) Amount is less than $500.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(g) Investments in companies considered to be an affiliate of the Fund during the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>as amended, were as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="16%"></TD>

   <TD width="30%"></TD>

   <TD width="16%"></TD>

   <TD width="24%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Shares Held at</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Shares Held at</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Affiliate</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>August 31, 2010</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Activity</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>August 31, 2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Income</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock Liquidity</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Funds, TempFund,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px; BORDER-BOTTOM: #000000 1px solid" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Institutional Class&nbsp;&nbsp;&nbsp;&nbsp; 1,172,197</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,058,556</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,230,753</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 28</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>(h) Represents the current yield as of report date.</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>For Fund compliance purposes, the Fund&#8217;s industry classifications refer to any one</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>or more of the industry sub-classifications used by one or more widely recognized</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>market indexes or rating group indexes, and/or as defined by Fund management.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>These definitions may not apply for purposes of this report, which may combine</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>such industry sub-classifications for reporting ease.</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Foreign currency exchange contracts as of August 31, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="6%"></TD>

   <TD width="14%"></TD>

   <TD width="6%"></TD>

   <TD width="16%"></TD>

   <TD width="21%"></TD>

   <TD width="18%"></TD>

   <TD width="16%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unrealized</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Currency</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Currency</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Settlement&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Appreciation</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Purchased</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sold</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Counterparty</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp; Date&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Depreciation)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,136,235</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CAD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,123,500</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/07/11</FONT></TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>(10,054)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>257,571</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>160,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/07/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;(2,056)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>449,835</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>276,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/07/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,979</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>671,104</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>420,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Royal Bank</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>of Scotland Plc</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/07/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(10,417)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CAD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,000,000</FONT>&nbsp;</TD>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;&nbsp;&nbsp;&nbsp; USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,017,246</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/07/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,037</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,226,079</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,645,500</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/26/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(7,246)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>230,818</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>160,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USB AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/26/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,129</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>472,174</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>330,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Morgan Stanley</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Capital SE</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/26/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1,560)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>85,410</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>60,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citibank NA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/26/11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(723)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (25,911)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 17</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_19"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Defined Opportunity Credit Trust (BHL)<BR></FONT>Schedule of Investments (concluded) <BR></FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fair Value Measurements &#8212; Various inputs are used in determining the fair value of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>investments and derivative financial instruments. These inputs are categorized in three</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>broad levels for financial statement purposes as follows:</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 1 &#8212; price quotations in active markets/exchanges for identical assets</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>and liabilities</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 2 &#8212; other observable inputs (including, but not limited to: quoted prices for</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>similar assets or liabilities in markets that are active, quoted prices for identical or</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>similar assets or liabilities in markets that are not active, inputs other than quoted</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>prices that are observable for the assets or liabilities (such as interest rates, yield</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>curves, volatilities, prepayment speeds, loss severities, credit risks and default</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>rates) or other market-corroborated inputs)</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 3 &#8212; unobservable inputs based on the best information available in the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>circumstances, to the extent observable inputs are not available (including the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fund's own assumptions used in determining the fair value of investments and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>derivative financial instruments)</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The categorization of a value determined for investments and derivative financial</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>instruments is based on the pricing transparency of the investment and derivative</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>financial instrument and does not necessarily correspond to the Fund&#8217;s perceived risk</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>of investing in those securities. For information about the Fund&#8217;s policy regarding val-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>uation of investments and derivative financial instruments and other significant</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>accounting policies, please refer to Note 1 of the Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The following tables summarize the inputs used as of August 31, 2011 in determin-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ing the fair valuation of the Fund&#8217;s investments and derivative financial instruments:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="22%"></TD>

   <TD width="21%"></TD>

   <TD width="19%"></TD>

   <TD width="19%"></TD>

   <TD width="16%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Valuation Inputs</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 1</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 2</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 3</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Assets:</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Long-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Investments:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Asset-Backed</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212; </FONT></TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>1,172,800 </FONT></TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>2,378,561</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;$3,551,361</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Common Stocks .</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 201,468</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>208,456</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>106,534</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>516,458</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Corporate Bonds.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>18,709,623</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>18,709,623</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Floating Rate</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Loan Interests</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 129,198,106</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10,822,191 140,020,297</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Other Interests</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>869,044</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>869,044</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Short-Term</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities:</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,230,753</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,230,753</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Liabilities:</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unfunded Loan</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Commitments</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px; BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(38,703)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(38,703)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=4><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 2,432,221&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $150,119,326&nbsp;&nbsp;&nbsp; $ 13,307,286&nbsp;&nbsp; 165,858,833</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="27%"></TD>

   <TD width="15%"></TD>

   <TD width="19%"></TD>

   <TD width="23%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="27%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Valuation Inputs</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="15%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="19%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 2</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="23%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 3</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="15%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="42%" colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Derivative Financial Instruments</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1</FONT></SUP>&nbsp;</TD>

   <TD align=left width="19%">&nbsp;</TD>

   <TD align=left width="23%">&nbsp;</TD>

   <TD align=left width="15%">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="27%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Assets:</FONT>&nbsp;</TD>

   <TD align=left width="15%">&nbsp;</TD>

   <TD align=left width="19%">&nbsp;</TD>

   <TD align=left width="23%">&nbsp;</TD>

   <TD align=left width="15%">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="27%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Foreign currency</FONT>&nbsp;</TD>

   <TD align=middle width="15%">&nbsp;</TD>

   <TD align=middle width="19%">&nbsp;</TD>

   <TD align=middle width="23%">&nbsp;</TD>

   <TD align=middle width="15%">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left width="27%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>exchange</FONT>&nbsp;</TD>

   <TD align=middle width="15%">&nbsp;</TD>

   <TD align=middle width="19%">&nbsp;</TD>

   <TD align=middle width="23%">&nbsp;</TD>

   <TD align=middle width="15%">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left width="27%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>contracts</FONT>&nbsp;</TD>

   <TD align=middle width="15%">&nbsp;<FONT face=Arial color=#231f20 size=1>&#8212;&nbsp;</FONT></TD>

   <TD align=middle width="19%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$6,145</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 7px" align=middle width="23%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT></TD>

   <TD align=middle width="15%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>6,145</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="27%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Liabilities:</FONT>&nbsp;</TD>

   <TD align=middle width="15%">&nbsp;</TD>

   <TD align=middle width="19%">&nbsp;</TD>

   <TD align=middle width="23%">&nbsp;</TD>

   <TD align=middle width="15%">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="27%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Foreign currency</FONT>&nbsp;</TD>

   <TD align=middle width="15%">&nbsp;</TD>

   <TD align=middle width="19%">&nbsp;</TD>

   <TD align=middle width="23%">&nbsp;</TD>

   <TD align=middle width="15%">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left width="27%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>exchange</FONT>&nbsp;</TD>

   <TD align=middle width="15%">&nbsp;</TD>

   <TD align=middle width="19%">&nbsp;</TD>

   <TD align=middle width="23%">&nbsp;</TD>

   <TD align=middle width="15%">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left width="27%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="15%">&nbsp;<FONT face=Arial color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="19%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(32,056)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 7px; BORDER-BOTTOM: #000000 1px solid" align=middle width="23%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="15%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(32,056)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="27%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="15%">&nbsp;<FONT face=Arial color=#231f20 size=1>&#8212;</FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="19%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT><FONT face=Arial color=#231f20 size=1>$</FONT> (25,911)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 6px; BORDER-BOTTOM: #000000 1px solid" align=middle width="23%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212; </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="15%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>(25,911)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left width="99%" colSpan=5><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Derivative financial instruments are foreign currency exchange contracts, which</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left width="99%" colSpan=5><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>are valued at the unrealized appreciation/depreciation on the instrument.</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 cellSpacing=0 border=0>



<TR>

   <TD width="37%"></TD>

   <TD width="16%"></TD>

   <TD width="10%"></TD>

   <TD width="7%"></TD>

   <TD width="9%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Asset-Backed</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Common</FONT>&nbsp;</TD>

   <TD align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Corporate Floating Rate</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unfunded Loan</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Stocks</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bonds</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Loan Interests</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Commitments</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Assets/Liabilities:</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 style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Balance, as of August 31, 2010</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 270,181 </FONT></TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>12,664</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$20,437,083</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (46,743)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$20,673,185</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Accrued discounts/premiums</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 25,212</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>46</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>127,335</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>152,593</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net realized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>508</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>21,213</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>21,721</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net change in unrealized appreciation/depreciation</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(174,879)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(163,647)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(295)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(46,441)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>33,657</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(351,605)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Purchases</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,528,228</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,140,603</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10,668,831</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sales</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(12,923)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(11,269,604)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(11,282,527)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Transfers in</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>983,762</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>13,086</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>996,848</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Transfers out</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(7,571,760)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(7,571,760)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Balance, as of August 31, 2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 2,378,561</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 106,534</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$10,822,191</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$13,307,286</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>2 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>still held on August 31, 2011 was $(629,494).</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The Fund&#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 transfer.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>instruments at the beginning and/or end of the year in relation to net assets.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>18 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT><BR>Schedule of Investments </FONT><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=2>August 31, 2011 <BR></FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="61%"></TD>

   <TD width="19%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Asset-Backed Securities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ARES CLO Funds, Series 2005-10A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.64%, 9/18/17 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 250</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 222,767</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Canaras Summit CLO Ltd., Series 2007-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.73%, 6/19/21 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>365</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>292,858</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chatham Light CLO Ltd., Series 2005-2A, Class A2,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.66%, 8/03/19 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>850</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>762,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Flagship CLO, Series 2006-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.60%, 9/20/19 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>807,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fraser Sullivan CLO Ltd., Series 2006-2A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.65%, 12/20/20 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>400,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gannett Peak CLO Ltd., Series 2006-1X, Class A2,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.61%, 10/27/20 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>280</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>209,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Landmark CDO Ltd., Series 2006-8A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.61%, 10/19/20 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>525</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>429,823</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MAPS CLO Fund LLC, Series 2005-1A, Class C,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.20%, 12/21/17 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>275</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>243,622</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Portola CLO Ltd., Series 2007-1X, Class B1,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.74%, 11/15/21 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>370</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>329,818</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>T2 Income Fund CLO Ltd., Series 2007-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.85%, 7/15/19 (a)(b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>320</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>285,824</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Asset-Backed Securities &#8212; 3.2%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,984,387</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Common Stocks</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Shares</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Capital Markets &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>E*Trade Financial Corp.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>14,300</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>176,748</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Chemicals &#8212; 0.0%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Wellman Holdings, Inc.</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>272</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>884</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Wellman Holdings, Inc. (acquired 1/30/09,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>cost $313) (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,341</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,358</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,242</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Financial Services &#8212; 1.3%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Kcad Holdings I Ltd.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>142,194,803</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,604,953</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Electrical Equipment &#8212; 0.0%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Medis Technologies Ltd.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>176,126</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,937</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Hotels, Restaurants &amp; Leisure &#8212; 0.0%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Buffets Restaurants Holdings, Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>688</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,720</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Metals &amp; Mining &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Euramax International</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>468</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>130,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Paper &amp; Forest Products &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ainsworth Lumber Co. Ltd.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>300,167</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>613,024</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bankruptcy Management Solutions, Inc.</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>536</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>HMH Holdings/EduMedia</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>45,526</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>91,052</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>91,055</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Common Stocks &#8212; 2.1%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,625,579</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Corporate Bonds</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Airlines &#8212; 0.4%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delta Air Lines, Inc., Series B, 9.75%, 12/17/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 209</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>213,942</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>United Air Lines, Inc., 12.75%, 7/15/12</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>295</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>307,882</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>521,824</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Auto Components &#8212; 0.9%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Icahn Enterprises LP, 7.75%, 1/15/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,065</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,075,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Capital Markets &#8212; 0.1%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>E*Trade Financial Corp., 3.95%, 8/31/19 (a)(e)(f)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>83</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>99,185</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>KKR Group Finance Co., 6.38%, 9/29/20 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>80</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>85,116</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>184,301</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="64%"></TD>

   <TD width="7%"></TD>

   <TD width="9%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Chemicals &#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 align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CF Industries, Inc., 6.88%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>445</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 504,519</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Wellman Holdings, Inc., Subordinate Note (e):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(Second Lien), 10.00%, 1/29/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>894</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,242,660</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(Third Lien), 5.00%, 1/29/19 (g)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>308</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>218,938</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,966,117</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Commercial Banks &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CIT Group, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 5/01/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>22</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>22,418</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 5/01/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>170</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>169,150</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 5/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>120</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>119,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 5/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>888</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>876,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 5/02/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>140</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>138,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Glitnir Banki HF, 6.38%, 9/25/12 (a)(c)(h)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>365</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,326,118</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Commercial Services &amp; Supplies &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>480</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>463,015</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>260</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>245,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>708,065</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Consumer Finance &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Inmarsat Finance Plc, 7.38%, 12/01/17 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>350</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>364,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Containers &amp; Packaging &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Graphic Packaging International, Inc., 9.50%, 6/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>105</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>114,187</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Smurfit Kappa Acquisitions (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.25%, 11/15/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>160</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>220,647</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.75%, 11/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>135</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>185,201</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>520,035</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Financial Services &#8212; 1.9%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ally Financial, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.88%, 9/15/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>150</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>150,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.50%, 12/31/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>20</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>20,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.45%, 12/01/14 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>750</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>702,830</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.00%, 3/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>20</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>20,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.50%, 9/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>160</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>157,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.00%, 11/01/31</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>210</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>203,563</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>80</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>83,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Reynolds Group DL Escrow, Inc., 8.50%, 10/15/16 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>300</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>306,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Reynolds Group Issuer, Inc. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.75%, 10/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>200</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>278,681</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.13%, 4/15/19</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>260</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>246,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.88%, 8/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>100</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>99,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.88%, 2/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>195</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>181,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,449,924</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Telecommunication 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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ITC Deltacom, Inc., 10.50%, 4/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>180</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>184,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Qwest Communications International, Inc., Series B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.50%, 2/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>347</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>351,338</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>535,838</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Electronic Equipment, Instruments &amp; Components &#8212; 0.2%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CDW LLC, 8.00%, 12/15/18 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>190</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>188,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Health Care Providers &amp; Services &#8212; 1.2%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>HCA, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.50%, 2/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>565</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>571,356</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.25%, 9/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>235</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>241,463</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.50%, 2/15/22</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>660</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>653,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,466,219</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Health Care Technology &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>IMS Health, Inc., 12.50%, 3/01/18 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>805,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Hotels, Restaurants &amp; Leisure &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Little Traverse Bay Bands of Odawa Indians,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.00%, 8/31/20 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>192</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>159,360</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MGM Resorts International, 11.13%, 11/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>390</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>434,850</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 19</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_21"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT><BR>Schedule of Investments (continued) <BR></FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="62%"></TD>

   <TD width="8%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Hotels, Restaurants &amp; Leisure (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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Travelport LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.88%, 9/01/14 (b)</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>665</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 507,062</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.88%, 9/01/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>145</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>123,613</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tropicana Entertainment LLC, Series WI,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.63%, 12/15/14 (c)(h)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>120</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,224,897</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Household Durables &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Beazer Homes USA, Inc., 12.00%, 10/15/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>507,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>IT Services &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>First Data Corp., 7.38%, 6/15/19 (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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>390</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>366,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Independent Power Producers &amp; Energy Traders &#8212; 1.4%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Energy Future Holdings Corp., 10.00%, 1/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>400</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>401,549</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Energy Future Intermediate Holding Co. LLC,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10.00%, 12/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,325</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,336,754</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,738,303</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Industrial Conglomerates &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sequa Corp., 13.50%, 12/01/15 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>722</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>764,863</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Media &#8212; 2.8%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>AMC Networks, Inc., 7.75%, 7/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>110</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>113,850</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CCH II LLC, 13.50%, 11/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>577,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CSC Holdings, Inc., 8.50%, 4/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>180</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>194,850</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cengage Learning Acquisitions, Inc.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10.50%, 1/15/15 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>315</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>242,550</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Checkout Holding Corp., 10.69%, 11/15/15 (a)(f)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>325</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>191,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Clear Channel Worldwide Holdings, Inc., Series B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.25%, 12/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>884</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>945,880</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>300</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>303,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unitymedia Hessen GmbH &amp; Co. KG (FKA UPC</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Germany GmbH), 8.13%, 12/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,020,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,589,380</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Metals &amp; Mining &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FMG Resources August 2006 Property Ltd.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 11/01/15 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>320</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>319,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Novelis, Inc., 8.38%, 12/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>455</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>469,787</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>RathGibson, Inc., 11.25%, 2/15/14 (c)(h)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,390</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>70</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>789,057</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Multiline Retail &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Dollar General Corp., 11.88%, 7/15/17 (g)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>215</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>238,113</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Oil, Gas &amp; Consumable Fuels &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Alpha Natural Resources, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.00%, 6/01/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>135</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>131,962</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.25%, 6/01/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>365</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>357,244</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Coffeyville Resources LLC, 9.00%, 4/01/15 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>135</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>143,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>632,306</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Paper &amp; Forest Products &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (a)(g)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>738</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>516,947</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Clearwater Paper Corp., 10.63%, 6/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>190</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>208,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Longview Fibre Paper &amp; Packaging, Inc.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.00%, 6/01/16 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>165</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>163,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Verso Paper Holdings LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>11.50%, 7/01/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>144</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>152,640</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series B, 4.00%, 8/01/14 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>170</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>139,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,180,387</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Valeant Pharmaceuticals 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: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.50%, 7/15/16 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>460</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>437,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Professional Services &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FTI Consulting, Inc., 6.75%, 10/01/20</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>85</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>83,831</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="64%"></TD>

   <TD width="6%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Wireless Telecommunication Services &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cricket Communications, Inc., 7.75%, 5/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>850</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 860,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Digicel Group Ltd. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.13%, 1/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>279</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>279,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.25%, 9/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>255</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>255,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>iPCS, Inc., 2.38%, 5/01/13 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>200</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>185,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Nextel Communications, Inc., Series E,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.88%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>225</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>223,594</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,803,719</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Corporate Bonds &#8212; 20.2%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>25,467,147</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Aerospace &amp; Defense &#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 align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DynCorp International LLC, Term Loan B, 6.25%, 7/05/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>401</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>382,308</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>SI Organization, Inc., New Term Loan B, 4.50%, 11/22/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>420</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>377,662</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>TransDigm, Inc., Term Loan (First Lien), 4.00%, 2/14/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>896</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>859,680</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Wesco Aircraft Hardware Corp., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.25%, 4/07/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>466</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>449,996</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,069,646</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Airlines &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delta Air Lines, Inc., Credit New Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.50%, 4/20/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,150</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,059,921</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Auto Components &#8212; 2.5%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Allison Transmission, Inc., Term Loan, 2.96%, 8/07/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,772</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,661,583</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Autoparts Holdings, Ltd., 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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.50%, 7/28/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>700</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>686,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Federal-Mogul Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 2.16%, 12/29/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>315</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>285,076</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan C, 2.15%, 12/28/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>160</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>145,347</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>UCI International, Inc., Term Loan, 5.50%, 7/26/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>348</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>338,238</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,116,244</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Biotechnology &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Grifols SA, Term Loan B, 6.00%, 6/01/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>420</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>409,920</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Building Products &#8212; 3.1%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Armstrong World Industries, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.00%, 3/09/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>574</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>538,432</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CPG International I, Inc., Term Loan B, 6.00%, 2/18/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>846</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>790,776</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Goodman Global, Inc., Initial Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.75%, 10/28/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,154</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,117,449</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Momentive Performance Materials (Blitz 06-103 GmbH),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche B-2B Term Loan, 4.79%, 5/05/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>317</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>408,060</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,854,717</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Capital Markets &#8212; 1.9%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>American Capital Ltd., Term Loan B, 7.50%, 12/31/13</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>261</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>253,870</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>HarbourVest Partners, Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.25%, 12/14/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>906</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>878,829</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Nuveen Investments, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Extended Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.75% &#8211; 5.81%, 5/12/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>862</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>805,455</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Non-Extended Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.25%, 11/13/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>438</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>404,767</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,342,921</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Chemicals &#8212; 5.8%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>American Rock Salt Holdings LLC, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.50%, 4/25/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>608</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>583,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Arizona Chemical Co., LLC, New Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.75%, 11/21/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>172</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>165,448</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ashland, Inc., Term Loan B, 3.75%, 7/30/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>550</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>537,724</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>700</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>684,831</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gentek, Inc., Term Loan B, 5.00% &#8211; 5.75%, 10/06/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>721</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>673,031</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>20 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_22"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT><BR>Schedule of Investments (continued) <BR></FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="64%"></TD>

   <TD width="6%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MDI Holdings, LLC (FKA 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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 3.54%, 4/11/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>220</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 301,141</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Nexeo Solutions, LLC, Term Loan B, 5.00%, 9/08/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>599</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>551,117</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>PQ Corp. (FKA Niagara Acquisition, Inc.), Original Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Loan (First Lien), 3.48% &#8211; 3.51%, 7/30/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>627</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>572,763</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Styron Sarl, Term Loan B, 6.00%, 8/02/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>885</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>812,660</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tronox Worldwide LLC, Exit Term Loan, 7.00%, 10/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,323</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,308,462</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Univar, Inc., Term Loan B, 5.00%, 6/30/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,294</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,193,577</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,384,129</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Commercial Services &amp; Supplies &#8212; 3.5%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ARAMARK Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Letter of Credit &#8212; 1 Facility, 2.06%, 1/27/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,533</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Letter of Credit &#8212; 2 Facility, 3.44%, 7/26/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,106</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>US Term Loan, 2.12%, 1/27/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>86</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>81,092</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>US Term Loan B, 3.50%, 7/26/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>148</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>138,470</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>AWAS Finance Luxembourg Sarl, Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.25%, 6/10/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>301</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>289,545</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Adesa Inc. (KAR Holdings, Inc.), Initial Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.00%, 5/19/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,250</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,187,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Altegrity, Inc. (FKA US Investigations Services, Inc.),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche D Term Loan, 7.75%, 2/20/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>790</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>768,850</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>925</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>918,830</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Synagro Technologies, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.21% &#8211; 2.23%, 4/02/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>639</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>554,829</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Volume Services America, Inc. (Centerplate),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 10.50% &#8211; 10.75%, 9/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>496</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>474,747</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,429,502</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Communications Equipment &#8212; 1.7%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 3.06%, 10/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>485</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>431,512</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-3, 4.81%, 10/26/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>910</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>783,586</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CommScope, Inc., Term Loan B, 5.00%, 1/14/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>998</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>957,600</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,172,698</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Construction &amp; Engineering &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BakerCorp., Inc., Term Loan B, 5.00%, 6/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>435</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>413,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Safway Services, LLC, First Out Tranche Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.00%, 12/16/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>800</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>800,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,213,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Consumer Finance &#8212; 1.9%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Springleaf Financial Funding Co. (FKA AGFS</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Funding Co.), Term Loan, 5.50%, 5/10/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,600</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,408,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Containers &amp; Packaging &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Anchor Glass Container Corp., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.00%, 3/02/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>135</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>132,695</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Graham Packaging Co., LP, Term Loan D,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.00%, 9/23/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>794</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>786,060</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>918,755</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Consumer Services &#8212; 3.2%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Coinmach Service Corp., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.22% &#8211; 3.30%, 11/20/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,343</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,168,045</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Laureate Education, 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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.25%, 8/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,113</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,866,409</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ServiceMaster Co.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Closing Date Term Loan, 2.69% &#8211; 2.76%, 7/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,037</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>958,101</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delayed Draw Term Loan, 2.72%, 7/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>103</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>95,413</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,087,968</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Financial 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 style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Reynolds Group Holdings, Inc., Term Loan E,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.50%, 2/09/18</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>574</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>547,035</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Telecommunication Services &#8212; 4.9%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Hawaiian Telcom Communications, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.00%, 11/01/15 (g)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,366</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,363,925</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="64%"></TD>

   <TD width="6%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Telecommunication Services (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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Integra Telecom Holdings, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.25%, 4/15/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>817</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 768,766</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 3 Financing, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Incremental Tranche A Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.49% &#8211; 2.50%, 3/13/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,175</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,085,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 11.50%, 3/13/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>575</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>597,523</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B2, 2.49%, 9/03/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,700</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,602,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>US Telepacific Corp., Term Loan B, 5.75%, 2/23/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>748</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>720,256</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,138,420</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Electronic Equipment, Instruments &amp; Components &#8212; 2.2%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Aeroflex Inc., Term Loan B, 4.25%, 5/09/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>725</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>671,227</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CDW LLC (FKA CDW Corp.):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Extended Term Loan B, 4.25%, 7/14/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>494</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>448,682</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Non-Extended Term Loan, 3.71%, 10/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>663</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>623,385</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Flextronics International Ltd., Delayed Draw:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan A-2, 2.47%, 10/01/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>24</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>22,648</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan A-3, 2.44%, 10/01/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>21</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>19,413</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sensata Technologies Finance Company, LLC, New Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Loan, 4.00%, 5/11/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>961,250</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,746,605</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Energy Equipment &amp; Services &#8212; 2.5%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CCS Corp., Tranche B Term Loan, 3.25%, 11/14/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>801</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>709,989</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Dynegy Holdings, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Coal Co. Term Loan, 9.25%, 8/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>336</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>324,197</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gas Co. Term Loan, 9.25%, 8/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>614</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>603,583</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MEG Energy Corp., Tranche D Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.00%, 3/16/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,600</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,530,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,167,769</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Food &amp; Staples Retailing &#8212; 1.9%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>AB Acquisitions UK Topco 2 Ltd. (FKA Alliance Boots),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Facility B1, 3.61%, 7/09/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>750</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,046,749</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bolthouse Farms, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.50% &#8211; 5.75%, 2/11/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>259</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>252,142</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>US 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: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New Term Loan B, 5.75%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>299</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>278,302</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 2.71% &#8211; 2.72%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>879</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>786,453</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,363,646</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Food Products &#8212; 4.1%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Advance Pierre Foods, Term Loan (Second Lien):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 9/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>923</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>892,611</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>11.25%, 9/29/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>490,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Del Monte Corp., Term Loan B, 4.50%, 3/08/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,495</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,351,537</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Michaels Foods Group, Inc. (FKA M-Foods Holdings, Inc.),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 4.25%, 2/23/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>111</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>106,016</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Pinnacle Foods Finance LLC, Tranche D Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.00%, 4/02/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>581</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>573,075</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Solvest, Ltd. (Dole):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche B-1 Term Loan, 5.00% &#8211; 6.00%, 7/06/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>291</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>279,752</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche C-1 Term Loan, 5.00% &#8211; 6.00%, 7/06/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>540</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>519,539</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,212,530</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Health Care Equipment &amp; Supplies &#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 colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Biomet, Inc., Dollar Term Loan, 3.22% &#8211; 3.25%, 3/25/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>195</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>185,055</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Capsugel Healthcare Ltd., Term Loan, 5.25%, 8/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>700</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>676,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DJO Finance LLC (FKA ReAble Therapeutics</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Finance LLC), Term Loan, 3.22%, 5/20/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>446</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>415,862</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Iasis Healthcare LLC, Term Loan, 5.00%, 5/03/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>777</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>716,624</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Immucor, Inc., Term Loan B, 7.25%, 8/17/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>525</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>506,300</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,500,041</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Health Care Providers &amp; Services &#8212; 5.0%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CHS/Community Health Systems, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delayed Draw Term Loan, 2.47% &#8211; 2.57%, 7/25/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>33</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>30,506</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Extended Term Loan B, 3.72% &#8211; 3.82%, 1/25/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>85</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>77,669</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Non Extended Term Loan, 2.47% &#8211; 2.57%, 7/25/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>638</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>591,361</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ConvaTec, Inc., Dollar Term Loan, 5.75%, 12/22/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>597</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>563,168</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DaVita, Inc., Tranche B Term Loan, 4.50%, 10/20/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>796</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>772,120</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 21</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_23"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT><BR>Schedule of Investments (continued) <BR></FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="61%"></TD>

   <TD width="9%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Health Care Providers &amp; Services (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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Emergency Medical Services, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.25%, 5/25/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>953</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 881,062</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>HCA, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche B-1 Term Loan, 3.50%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>104</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>97,175</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche B-2 Term Loan, 3.50%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>57</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>53,398</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Harden Healthcare, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche A Additional Term Loan, 7.75%, 3/02/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>552</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>540,822</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche A Term Loan, 8.50%, 3/02/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>346</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>339,127</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>inVentiv Health, Inc. (FKA Ventive Health, Inc.):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Incremental Term Loan B3, 6.75%, 5/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>470,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 6.50%, 8/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>810</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>764,225</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Medpace, Inc., Term Loan, 6.50%, 6/22/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>600</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>570,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Renal Advantage Holdings, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.75%, 12/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>597</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>584,564</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,335,197</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Health Care Technology &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>IMS Health, Inc., Tranche B Dollar Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.50%, 8/25/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>586</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>562,490</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MedAssets, Inc., Term Loan B, 5.25%, 11/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>397</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>375,589</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>938,079</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Hotels, Restaurants &amp; Leisure &#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 align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ameristar Casinos, Inc., Term Loan B, 4.00%, 4/13/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>748</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>718,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Caesars Entertainment Operating Co., Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-2, 3.22% &#8211; 3.25%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>155</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>133,542</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-3, 3.25%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,771</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,385,718</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-4, 9.50%, 10/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>383</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>382,259</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Dunkin' Brands, Inc., New Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.00%, 11/23/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,049</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,007,823</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Golden Living, Term Loan, 5.00%, 5/04/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>840</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>745,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Penn National Gaming, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.75%, 7/16/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>150</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>145,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>SeaWorld Parks &amp; Entertainment, Inc. (FKA SW</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Acquisitions Co., Inc.), Term Loan B, 4.00%, 8/17/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>860</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>830,207</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Six Flags Theme Parks, Inc., Tranche B Term Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(First Lien), 5.25%, 6/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>745</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>726,344</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Twin River Worldwide Holdings, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.50%, 11/05/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>388</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>385,007</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>VML US Finance LLC (FKA Venetian Macau):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New Project Term Loan, 4.73%, 5/27/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>294</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>290,532</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term B Delayed Draw Project Loan, 4.73%, 5/25/12</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>374</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>370,361</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term B Funded Project Loan, 4.73%, 5/27/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>986</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>973,205</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,094,573</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Visant Corp. (FKA Jostens), Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.25%, 12/22/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>20</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>17,819</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>IT Services &#8212; 4.7%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ceridian Corp., US Term Loan, 3.22%, 11/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,025</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>876,157</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>First Data Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Initial Tranche B-1 Term Loan, 2.97%, 9/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>112</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>98,815</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Initial Tranche B-2 Term Loan, 4.22%, 3/23/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,174</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,657,585</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Initial Tranche B-3 Term Loan, 2.97%, 9/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>80</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>69,879</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>infoGROUP, Inc., Term Loan, 5.75%, 5/22/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>346</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>317,152</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>iPayment, Inc., Term Loan B, 5.75%, 5/08/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>553</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>523,055</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>TransUnion LLC, Replacement Term Loan, 4.75%, 2/12/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,465</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,389,093</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,931,736</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Independent Power Producers &amp; Energy Traders &#8212; 3.7%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The AES Corp., Term Loan B, 4.25%, 6/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>998</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>958,099</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Calpine Corp., Term Loan B, 4.50%, 4/02/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,845</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,700,523</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Texas Competitive Electric Holdings Co., LLC (TXU),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Extended Term Loan, 4.71% &#8211; 4.77%, 10/10/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,704</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,985,014</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,643,636</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Industrial Conglomerates &#8212; 1.2%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sequa Corp., Term Loan, 3.50% &#8211; 3.51%, 12/03/14</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,597</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,491,503</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="65%"></TD>

   <TD width="5%"></TD>

   <TD align=middle width="10%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT></TD>

   <TD align=middle width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Insurance &#8212; 0.8%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CNO Financial Group, Inc., Term Loan, 6.25%, 9/30/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>988</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 965,870</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Leisure Equipment &amp; 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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EB Sports Corp., Loan, 11.50%, 12/31/15</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>502</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>481,948</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Machinery &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Navistar Financial Corp., Term Loan B, 4.50%, 12/16/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>397</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>386,053</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Terex Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 6.03%, 4/28/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>65</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>90,571</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 5.50%, 4/28/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>490,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tomkins Plc, Term Loan B, 4.25%, 9/29/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,366</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,314,944</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,281,568</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Marine &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Horizon Lines, LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Revolving Loan, 0.50% &#8211; 6.30%, 8/08/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>285</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>277,439</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 6.25%, 8/08/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>120</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>115,927</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>393,366</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Media &#8212; 18.2%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>AMC Networks, Inc., Term Loan B, 4.00%, 12/31/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>800</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>771,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Acosta, Inc., Term Loan, 4.75%, 3/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>948</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>893,663</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Affinion Group, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.00%, 7/16/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>765</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>688,645</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Atlantic Broadband Finance, LLC, Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.00%, 3/08/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>472</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>446,170</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bresnan Telecommunications Co. LLC, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.50%, 12/14/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,368</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,305,588</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Catalina Marketing Corp., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.97%, 10/01/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>115</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>105,167</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cengage Learning Acquisitions, Inc. (Thomson Learning):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 2.50%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>787</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>650,874</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche 1 Incremental Term Loan, 7.50%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>480</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>458,263</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Charter Communications Operating, LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 7.25%, 3/06/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>14,385</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan C, 3.50%, 9/06/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,176</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,119,820</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Clarke American Corp., Term Facility B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.72% &#8211; 2.75%, 6/30/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>398</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>330,016</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Clear Channel Communications, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.87%, 1/28/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,115</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>834,511</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cumulus Media, Inc., Term Loan, 5.75%, 8/30/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>550</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>514,937</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Getty Images, Inc., Initial Term Loan, 5.25%, 11/07/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>274</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>267,940</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gray Television, Inc., Term Loan B, 3.71%, 12/31/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>593</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>542,805</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>HMH Publishing Co., Ltd., Tranche A Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.21%, 6/12/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>724</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>582,049</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Hubbard Broadcasting, Term Loan B (Second Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.25%, 4/28/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>475,835</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Intelsat Jackson Holdings S.A. (FKA Intelsat Jackson</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Holdings, Ltd.), Tranche B Term Loan, 5.25%, 4/02/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,993</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,865,319</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interactive Data Corp., New Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.50%, 2/12/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,421</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,344,154</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Knology, Inc., Term Loan B, 4.00%, 8/18/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>322</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>304,828</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Lavena Holding 3 GmbH (Prosiebensat.1 Media AG),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Facility B1, 4.20%, 3/06/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>304</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>338,574</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Mediacom Illinois, LLC (FKA 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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>LLC), Tranche D Term Loan, 5.50%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>714</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>681,854</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,065,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Nielsen Finance LLC, Class B Dollar Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.96%, 5/02/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>678</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>637,446</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sinclair Television Group, Inc., New Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.00%, 10/28/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>508</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>499,999</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sunshine Acquisition Ltd. (FKA HIT Entertainment),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Facility, 5.51%, 6/01/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>913</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>877,953</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=3><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>UPC Broadband Holding B.V., Term U, 5.44%, 12/31/17 EUR 1,035</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,390,520</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Univision Communications, Inc., Extended First Lien</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 4.47%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>864</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>743,407</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>WC Luxco Sarl, New Term Loan B3, 4.25%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>219</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>210,536</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Weather Channel, Term Loan B, 4.25%, 2/13/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,112</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,071,223</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>23,032,481</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>22 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_24"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT><BR>Schedule of Investments (continued) <BR></FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="65%"></TD>

   <TD width="5%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Metals &amp; Mining &#8212; 2.8%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Novelis, Inc., Term Loan, 3.75%, 3/10/17</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,428</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 1,348,474</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>SunCoke Energy, Inc., Term Loan B, 4.00%, 7/26/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>450</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>427,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Walter Energy, Inc., Term Loan B, 4.00%, 4/02/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,864</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,779,893</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,555,867</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Multi-Utilities &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FirstLight Power Resources, Inc. (FKA NE Energy, Inc.),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term B Advance (First Lien), 2.75%, 11/01/13</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>200</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>189,478</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Multiline Retail &#8212; 1.7%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Dollar General Corp., Tranche B-2 Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.96% &#8211; 2.97%, 7/07/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>270</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>262,164</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Hema Holding BV, Facility D, 6.43%, 1/05/17</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,823,405</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,085,569</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Oil, Gas &amp; Consumable Fuels &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EquiPower Resources Holdings, LLC, Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.75%, 1/26/18</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>798</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>765,082</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gibson Energy, Term Loan B, 5.75%, 6/14/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>850</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>803,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,097</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,085,811</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,654,143</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Pharmaceuticals &#8212; 2.5%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,045</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>942,364</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Endo Pharmaceuticals Holdings, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.00%, 6/18/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>650</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>635,785</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Quinteles Transnational Corp., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.00%, 6/08/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>690</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>639,975</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>RPI Finance Trust, Term Loan Tranche 2, 4.00%, 5/09/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>485,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Warner Chilcott Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-1, 4.25%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>319</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>305,835</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-2, 4.25%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>160</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>153,117</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,162,076</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Professional Services &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Booz Allen Hamilton, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.00%, 8/03/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>382</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>374,150</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fifth Third Processing Solutions, LLC, Term Loan B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(First Lien), 4.50%, 11/03/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>697</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>670,824</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,044,974</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Real Estate Investment Trusts (REITs) &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>iStar Financial, Inc., Term Loan (Second Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.00%, 6/28/13</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,052</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,022,425</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Real Estate Management &amp; Development &#8212; 1.7%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Realogy Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delayed Draw Term Loan, 3.30%, 10/10/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>791</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>698,185</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Extended Synthetic Letter of Credit Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.44%, 10/10/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>60</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>49,156</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Extended Term Loan B, 4.52%, 10/10/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,323</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,088,791</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Letter of Credit, 3.19%, 10/10/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>32</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>28,135</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 3.27%, 10/10/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>253</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>223,377</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,087,644</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Road &amp; Rail &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The Hertz Corp., Term Loan B, 3.75%, 3/09/18</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>399</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>378,053</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Semiconductors &amp; Semiconductor Equipment &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Freescale Semiconductor, Inc., Extended Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.44%, 12/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>366</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>332,935</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Microsemi Corp., Term Loan B, 4.00%, 11/02/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>498</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>474,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>807,635</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Software &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Rovi Corp., Tranche B Term Loan, 4.00%, 2/07/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>499</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>479,633</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Vertafore, Inc., Term Loan B, 5.25%, 7/29/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>333</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>317,075</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>796,708</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="64%"></TD>

   <TD width="6%"></TD>

   <TD width="15%"></TD>

   <TD width="14%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Specialty Retail &#8212; 4.7%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Academy Ltd., Term Loan, 6.00%, 8/03/18</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>900 </FONT></TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>854,325</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Burlington Coat Factory Warehouse Corp., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.25%, 2/23/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>420</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>395,556</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>General Nutrition Centers, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.25%, 3/02/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,200</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,132,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>J. Crew Group, Inc., Term Loan B, 4.75%, 3/07/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>399</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>355,361</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Jo-Ann Stores, Inc., Term Loan B, 4.75%, 3/16/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>284</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>264,120</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Michaels Stores, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-1, 2.50%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>223</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>210,269</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-2, 4.75%, 7/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>791</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>743,946</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Petco Animal Supplies, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.50%, 11/24/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,139</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,070,190</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Toys &#8216;R&#8217; Us Delaware, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Initial Loan, 6.00%, 9/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>817</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>765,680</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 5.25%, 5/25/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>200</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>185,202</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,977,149</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Wireless Telecommunication Services &#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 align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MetroPCS Wireless, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 4.00%, 3/16/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>249</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>233,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche B-2 Term Loan, 4.07%, 11/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>504</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>470,953</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Vodafone Americas Finance 2, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Initial Loan, 6.88%, 8/11/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,070</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,075,678</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 6.25%, 7/11/16 (g)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>200</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>201,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,980,681</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Floating Rate Loan Interests &#8212; 110.4%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>139,494,145</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interest</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Other Interests (i)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Auto Components &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delphi Debtor-in-Possession Holding Co. LLP, Class B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Membership Interests (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;(j)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>925,294</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Intermet Liquidating Trust, Class A (c)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>256</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>925,296</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Financial 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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF JGW SPV, LLC (J.G. Wentworth LLC Preferred Equity</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interests) (c)(k)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;(j)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>647,746</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Hotels, Restaurants &amp; Leisure &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Buffets, Inc. (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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>360</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Household Durables &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF (S-Martin) SPV, LLC (Stanley Martin, Class B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Membership Units) (c)(k)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>845,673</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Metals &amp; Mining &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF (R-Gibson) SPV, LLC (RathGibson 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: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Corp.) (k)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>88</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,057,282</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Other Interests &#8212; 2.7%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,476,001</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Preferred Stocks</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Shares</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Financial Services &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ally Financial, Inc. (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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>50</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>38,045</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Preferred Stocks &#8212; 0.0%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>38,045</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Trust Preferred</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Financial Services &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)(e)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>78,822</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Trust Preferred &#8212; 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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>78,822</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Preferred Securities &#8212; 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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>116,867</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 23</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT><BR>Schedule of Investments (continued) <BR></FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(Percentages shown are based on Net Assets)</FONT></P>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Warrants (l)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Shares</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Hotels, Restaurants &amp; Leisure &#8212; 0.0%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Buffets Restaurants Holdings, Inc. (Expires 4/29/14)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>304</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 3</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Software &#8212; 0.0%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bankruptcy Management Solutions, Inc.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(Expires 9/29/17)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>357</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>HMH Holdings/EduMedia (Expires 3/09/17)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,970</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Warrants &#8212; 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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Long-Term Investments</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(Cost &#8212; $191,367,117) &#8212; 138.7%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>175,164,133</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Options Purchased</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Over-the-Counter Call Options &#8212; 0.0%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Marsico Parent Superholdco LLC,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Strike Price USD 942.86, Expires 12/21/19,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Broker Goldman Sachs Bank USA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>13</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Options Purchased (Cost &#8212; $12,711) &#8212; 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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Investments (Cost &#8212; $191,379,828*) &#8212; 138.7%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>175,164,133</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Liabilities in Excess of Other Assets &#8212; (38.7)%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(48,857,375)</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net Assets &#8212; 100.0%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$126,306,758</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>* The cost and unrealized appreciation (depreciation) of investments as of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>August 31, 2011, as computed for federal income tax purposes, were as follows:</FONT></P>

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   <TD width="57%"></TD>

   <TD width="42%"></TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Aggregate cost</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$189,490,515</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gross unrealized appreciation</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 3,190,985</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gross unrealized depreciation</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(17,517,367)</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net unrealized depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (14,326,382)</FONT>&nbsp;</TD></TR></TABLE></DIV>

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   <TD width="100%"></TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(a) Security exempt from registration under Rule 144A of the Securities Act of 1933.</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>These securities may be resold in transactions exempt from registration to qualified</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>institutional investors.</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(b) Variable rate security. Rate shown is as of report date.</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(c) Non-income producing security.</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(d) Restricted security as to resale. As of report date the Fund held less than 0.1% of</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>its net assets, with a current market value of $4,358 and an original cost of $313,</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>in this security.</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(e) Convertible security.</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(f) Represents a zero-coupon bond. Rate shown reflects the current yield as of</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>report date.</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(g) Represents a payment-in-kind security which may pay interest/dividends in</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>additional par/shares.</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(h) Issuer filed for bankruptcy and/or is in default of interest payments.</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(i) Other interests represent beneficial interests in liquidation trusts and other</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>reorganization or private entities.</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(j) Amount is less than $500.</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(k) The investment is held by a wholly owned subsidiary of the Fund.</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(l) Warrants entitle the Fund to purchase a predetermined number of shares of</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>common stock and are non-income producing. The purchase price and number of</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>shares are subject to adjustment under certain conditions until the expiration date,</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>if any.</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Investments in companies considered to be an affiliate of the Fund during the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>as amended, were as follows:</FONT></P>

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<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="16%"></TD>

   <TD width="29%"></TD>

   <TD width="17%"></TD>

   <TD width="23%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Shares Held at</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Shares Held at</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Affiliate</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>August 31, 2010</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Activity</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>August 31, 2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Income</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock Liquidity</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Funds, TempFund,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px; BORDER-BOTTOM: #000000 1px solid" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Institutional Class&nbsp;&nbsp;&nbsp;&nbsp; 1,822,139</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1,822,139)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 11px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$3,467</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>For Fund compliance purposes, the Fund&#8217;s industry classifications refer to any one</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>or more of the industry sub-classifications used by one or more widely recognized</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>market indexes or rating group indexes, and/or as defined by Fund management.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>These definitions may not apply for purposes of this report, which may combine</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>such industry sub-classifications for reporting ease.</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Foreign currency exchange contracts as of August 31, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="7%"></TD>

   <TD width="13%"></TD>

   <TD width="7%"></TD>

   <TD width="15%"></TD>

   <TD width="21%"></TD>

   <TD width="14%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unrealized</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Currency</FONT>&nbsp;</TD>

   <TD align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Currency</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Settlement&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Appreciation</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Purchased</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sold</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Counterparty</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Date</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(Depreciation)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>745,354</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CAD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>737,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citibank NA</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/07/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (6,595)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CAD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>737,000</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>749,711</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citibank NA</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/07/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,238</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 4,720,029</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,292,500</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citibank NA</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/26/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(6,544)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>99,645</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>70,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citibank NA</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/26/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(844)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>310,162</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>215,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>UBS AG</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/26/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,517</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>100,300</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>143,690</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citibank NA</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/26/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>296</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>516,530</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>361,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Morgan Stanley</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/26/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1,706)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>110,000</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>156,558</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Deutsche Bank AG&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10/26/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,353</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>685,485</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>429,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Royal Bank</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>of Scotland Plc</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/07/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(10,640)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>201,227</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GBP</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>125,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citibank NA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/07/11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1,606)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (22,531)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fair Value Measurements &#8212; Various inputs are used in determining the fair value of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>investments and derivative financial instruments. These inputs are categorized in</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>three broad levels for financial statement purposes as follows:</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 1 &#8212; price quotations in active markets/exchanges for identical assets</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>and liabilities</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 2 &#8212; other observable inputs (including, but not limited to: quoted prices for</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>similar assets or liabilities in markets that are active, quoted prices for identical</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>or similar assets or liabilities in markets that are not active, inputs other than</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>quoted prices that are observable for the assets or liabilities (such as interest</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>default rates) or other market-corroborated inputs)</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 3 &#8212; unobservable inputs based on the best information available in the cir-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>cumstances, to the extent observable inputs are not available (including the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fund's own assumptions used in determining the fair value of investments and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>derivative financial instruments)<BR></FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The categorization of a value determined for investments and derivative financial</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>instruments is based on the pricing transparency of the investment and derivative</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>financial instrument and does not necessarily correspond to the Fund&#8217;s perceived</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>risk of investing in those securities. For information about the Fund&#8217;s policy regarding</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>valuation of investments and derivative financial instruments and other significant</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>accounting policies, please refer to Note 1 of the Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>24 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_26"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Diversified Income Strategies Fund, Inc. (DVF)<BR></FONT>Schedule of Investments (concluded) <BR></FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The following tables summarize the inputs used as of August 31, 2011 in determin-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ing the fair valuation of the Fund&#8217;s investments and derivative financial instruments:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="23%"></TD>

   <TD width="20%"></TD>

   <TD width="17%"></TD>

   <TD width="21%"></TD>

   <TD width="16%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Valuation Inputs</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 1</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 2</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 3</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Long-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Investments:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Asset-Backed</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212; </FONT></TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>1,231,272</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 2,753,115</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;$3,984,387</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Common Stocks</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 180,405</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>743,926</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,701,248</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,625,579</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Corporate Bonds. .</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>23,846,107</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,621,040</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>25,467,147</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Floating Rate</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Loan Interests.</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 27,138,663</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,355,482 139,494,145</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Other Interests</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>925,294</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,550,707</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,476,001</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Preferred</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>78,822</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>38,045</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>116,867</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Warrants.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Liabilities:</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unfunded Loan</FONT>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Commitments</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px; BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(45,062)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(45,062)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 259,227&nbsp;&nbsp; $153,878,245</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 20,981,599&nbsp;&nbsp;&nbsp;$175,119,071</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="27%"></TD>

   <TD width="15%"></TD>

   <TD width="19%"></TD>

   <TD width="23%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left width="27%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Valuation Inputs</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="15%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="19%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 2</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="23%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 3</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="15%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="42%" colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Derivative Financial Instruments</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1</FONT></SUP>&nbsp;</TD>

   <TD align=left width="19%">&nbsp;</TD>

   <TD align=left width="23%">&nbsp;</TD>

   <TD align=left width="15%">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="27%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Assets:</FONT>&nbsp;</TD>

   <TD align=left width="15%">&nbsp;</TD>

   <TD align=left width="19%">&nbsp;</TD>

   <TD align=left width="23%">&nbsp;</TD>

   <TD align=left width="15%">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="27%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Foreign currency</FONT>&nbsp;</TD>

   <TD align=right width="15%">&nbsp;</TD>

   <TD align=left width="19%">&nbsp;</TD>

   <TD align=right width="23%">&nbsp;</TD>

   <TD align=right width="15%">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left width="27%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>exchange</FONT>&nbsp;</TD>

   <TD align=right width="15%">&nbsp;</TD>

   <TD align=left width="19%">&nbsp;</TD>

   <TD align=right width="23%">&nbsp;</TD>

   <TD align=right width="15%">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left width="27%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>contracts</FONT>&nbsp;</TD>

   <TD align=right width="15%">&nbsp;<FONT face=Arial color=#231f20 size=1>&#8212; </FONT></TD>

   <TD align=right width="19%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>5,404</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 7px" align=right width="23%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212; </FONT></TD>

   <TD align=right width="15%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>5,404</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="27%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Liabilities:</FONT>&nbsp;</TD>

   <TD align=right width="15%">&nbsp;</TD>

   <TD align=right width="19%">&nbsp;</TD>

   <TD align=right width="23%">&nbsp;</TD>

   <TD align=right width="15%">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="27%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Foreign currency</FONT>&nbsp;</TD>

   <TD align=right width="15%">&nbsp;</TD>

   <TD align=right width="19%">&nbsp;</TD>

   <TD align=right width="23%">&nbsp;</TD>

   <TD align=right width="15%">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left width="27%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>exchange</FONT>&nbsp;</TD>

   <TD align=right width="15%">&nbsp;</TD>

   <TD align=right width="19%">&nbsp;</TD>

   <TD align=right width="23%">&nbsp;</TD>

   <TD align=right width="15%">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left width="27%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="15%">&nbsp;<FONT face=Arial color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="19%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(27,935)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 7px; BORDER-BOTTOM: #000000 1px solid" align=right width="23%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="15%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(27,935)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="27%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="15%">&nbsp;<FONT face=Arial color=#231f20 size=1>&#8212;&nbsp;</FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="19%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$(22,531)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 6px; BORDER-BOTTOM: #000000 1px solid" align=right width="23%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212; </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="15%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>(22,531)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left width="99%" colSpan=5><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Derivative financial instruments are foreign currency exchange contracts, which</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left width="99%" colSpan=5><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>are valued at the unrealized appreciation/depreciation on the instrument.</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 cellSpacing=0 border=0>



<TR>

   <TD width="25%"></TD>

   <TD width="12%"></TD>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD align=middle width="8%"></TD>

   <TD width="5%"></TD>

   <TD width="10%"></TD>

   <TD width="9%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left width="25%">&nbsp;</TD>

   <TD align=middle width="12%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Asset-Backed</FONT>&nbsp;</TD>

   <TD align=middle width="10%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Common</FONT>&nbsp;</TD>

   <TD align=middle width="10%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Corporate</FONT>&nbsp;</TD>

   <TD align=middle width="10%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Floating Rate</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle width="8%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Other</FONT>&nbsp;</TD>

   <TD align=middle width="5%">&nbsp;</TD>

   <TD align=middle width="19%" colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unfunded Loan</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left width="25%">&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=middle width="12%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="10%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Stocks</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="10%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bonds</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="10%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Loan Interests</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="8%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interests</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="5%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Warrants</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="10%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Commitments</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="9%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="25%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Assets/Liabilities:</FONT>&nbsp;</TD>

   <TD align=middle width="12%">&nbsp;</TD>

   <TD align=middle width="10%">&nbsp;</TD>

   <TD align=middle width="10%">&nbsp;</TD>

   <TD align=middle width="10%">&nbsp;</TD>

   <TD align=middle width="8%">&nbsp;</TD>

   <TD align=middle width="5%">&nbsp;</TD>

   <TD align=middle width="10%">&nbsp;</TD>

   <TD align=middle width="9%">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="25%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Balance, as of August 31, 2010</FONT>&nbsp;</TD>

   <TD align=right width="12%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 338,985</FONT>&nbsp;</TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 230,600</FONT>&nbsp;</TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 904,927</FONT>&nbsp;</TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$22,878,826</FONT>&nbsp;</TD>

   <TD align=right width="8%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $ 1,589,042&nbsp;&nbsp;&nbsp; </FONT></TD>

   <TD align=right width="5%">&nbsp;<FONT face=Arial color=#231f20 size=1>$</FONT><FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT><FONT face=Arial color=#231f20 size=1>3</FONT></TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (46,660)</FONT>&nbsp;</TD>

   <TD align=right width="9%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$25,895,723</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="25%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Accrued discounts/premiums</FONT>&nbsp;</TD>

   <TD align=right width="12%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>26,592</FONT>&nbsp;</TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(14,766)</FONT>&nbsp;</TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>136,339</FONT>&nbsp;</TD>

   <TD align=right width="8%">&nbsp;<FONT face=Arial color=#231f20 size=1>&#8212;</FONT>&nbsp;&nbsp;&nbsp; </TD>

   <TD align=right width="5%">&nbsp;<FONT face=Arial color=#231f20 size=1>&#8212;</FONT></TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right width="9%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>148,165</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="25%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net realized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right width="12%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,525</FONT>&nbsp;</TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(252,033)</FONT>&nbsp;</TD>

   <TD align=right width="8%">&nbsp;<FONT face=Arial color=#231f20 size=1>&#8212;&nbsp;&nbsp;&nbsp;</FONT>&nbsp;</TD>

   <TD align=right width="5%">&nbsp;<FONT face=Arial color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right width="9%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(245,508)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="25%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net change in unrealized appreciation/</FONT>&nbsp;</TD>

   <TD align=left width="12%">&nbsp;</TD>

   <TD align=left width="10%">&nbsp;</TD>

   <TD align=left width="10%">&nbsp;</TD>

   <TD align=left width="10%">&nbsp;</TD>

   <TD align=right width="8%">&nbsp;</TD>

   <TD align=right width="5%">&nbsp;</TD>

   <TD align=left width="10%">&nbsp;</TD>

   <TD align=left width="9%">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="25%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>depreciation</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2</FONT></SUP>&nbsp;</TD>

   <TD align=right width="12%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>889,701</FONT>&nbsp;</TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1,475,536)</FONT>&nbsp;</TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>451,244</FONT>&nbsp;</TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,588,616</FONT>&nbsp;</TD>

   <TD align=right width="8%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 830,945</FONT>&nbsp;</TD>

   <TD align=right width="5%">&nbsp;<FONT face=Arial color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>33,379</FONT>&nbsp;</TD>

   <TD align=right width="9%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,318,349</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="25%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Purchases</FONT>&nbsp;</TD>

   <TD align=right width="12%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,847,837</FONT>&nbsp;</TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,025,315</FONT>&nbsp;</TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>230,968</FONT>&nbsp;</TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,737,800</FONT>&nbsp;</TD>

   <TD align=right width="8%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>130,720&nbsp;</FONT></TD>

   <TD align=right width="5%">&nbsp;<FONT face=Arial color=#231f20 size=1>4</FONT></TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right width="9%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>13,972,644</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="25%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sales</FONT>&nbsp;</TD>

   <TD align=right width="12%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1,350,000)</FONT>&nbsp;</TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(79,131)</FONT>&nbsp;</TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(76,913)</FONT>&nbsp;</TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(16,760,979)</FONT>&nbsp;</TD>

   <TD align=right width="8%">&nbsp;<FONT face=Arial color=#231f20 size=1>&#8212;</FONT></TD>

   <TD align=right width="5%">&nbsp;<FONT face=Arial color=#231f20 size=1>&#8212;</FONT></TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right width="9%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(18,267,023)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="25%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Transfers in</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3</FONT></SUP>&nbsp;</TD>

   <TD align=right width="12%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>119,055</FONT>&nbsp;</TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,257,262</FONT>&nbsp;</TD>

   <TD align=right width="8%">&nbsp;<FONT face=Arial color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right width="5%">&nbsp;<FONT face=Arial color=#231f20 size=1>&#8212;</FONT></TD>

   <TD align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>13,281</FONT>&nbsp;</TD>

   <TD align=right width="9%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,389,598</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="25%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Transfers out</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="12%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(5,230,349)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="8%">&nbsp;<FONT face=Arial color=#231f20 size=1>&#8212;</FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="5%">&nbsp;<FONT face=Arial color=#231f20 size=1>&#8212;</FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="9%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(5,230,349)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="25%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Balance, as of August 31, 2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="12%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 2,753,115</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 1,701,248</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 1,621,040</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$12,355,482</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="8%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 2,550,707 </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="5%">&nbsp;<FONT face=Arial color=#231f20 size=1>$</FONT><FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT><FONT face=Arial color=#231f20 size=1>7</FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="10%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="9%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$20,981,599</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>2 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>still held on August 31, 2011 was $(641,187).</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The Fund&#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 transfer.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>instruments at the beginning and/or end of the year in relation to net assets.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 25</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_27"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>&nbsp;<FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT></FONT><BR>Schedule of Investments </FONT><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=2>August 31, 2011<BR></FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="63%"></TD>

   <TD width="17%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Asset-Backed Securities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ARES CLO Funds, Series 2005-10A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.64%, 9/18/17 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 750</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 668,302</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ballyrock CDO Ltd., Series 2006-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.67%, 8/28/19 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>785,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Canaras Summit CLO Ltd., Series 2007-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.73%, 6/19/21 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>750</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>601,763</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chatham Light CLO Ltd., Series 2005-2A Class A2,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.66%, 8/03/19 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>897,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Flagship CLO, Series 2006-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.60%, 9/20/19 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,304</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,052,980</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Franklin CLO Ltd., Series 6A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.72%, 8/09/19 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,910</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,639,926</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fraser Sullivan CLO Ltd., Series 2006-2A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.65%, 12/20/20 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>400,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gannett Peak CLO Ltd., Series 2006-1X, Class A2,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.61%, 10/27/20 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>575</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>429,813</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Goldman Sachs Asset Management CLO Plc,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2007-1A, Class B, 0.70%, 8/01/22 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,255</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>931,837</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Landmark CDO Ltd., Series 2006-8A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.61%, 10/19/20 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,075</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>880,113</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MAPS CLO Fund LLC, Series 2005-1A, Class C,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.20%, 12/21/17 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>575</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>509,393</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Portola CLO Ltd., Series 2007-1X, Class B1,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.74%, 11/15/21 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>765</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>681,921</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>T2 Income Fund CLO Ltd., Series 2007-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.85%, 7/15/19 (a)(b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>655</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>585,046</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Asset-Backed Securities &#8212; 3.9%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10,063,594</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Common Stocks (c)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Shares</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Chemicals &#8212; 0.0%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GEO Specialty Chemicals, Inc.</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>13,117</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,036</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Wellman Holdings, Inc.</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>430</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,397</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,433</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Electrical Equipment &#8212; 0.0%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Medis Technologies Ltd.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>71,654</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>788</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Paper &amp; Forest Products &#8212; 0.2%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ainsworth Lumber Co. Ltd.</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>133,089</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>271,804</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ainsworth Lumber Co. Ltd. (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>152,951</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>312,368</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Western Forest Products, Inc. (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>84,448</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>56,914</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>641,086</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Software &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>HMH Holdings/EduMedia</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>92,606</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>185,212</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Common Stocks &#8212; 0.3%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>833,519</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Corporate Bonds</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Airlines &#8212; 0.2%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delta Air Lines, Inc., Series B, 9.75%, 12/17/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 417</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>427,885</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Auto Components &#8212; 0.9%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Icahn Enterprises LP, 7.75%, 1/15/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,215</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,237,150</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Chemicals &#8212; 1.2%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CF Industries, Inc., 6.88%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>905</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,026,044</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GEO Specialty Chemicals, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.50%, 3/31/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>857</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>856,987</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10.00%, 3/31/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>844</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>780,848</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Wellman Holdings, Inc., Subordinate Note (Third Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.00%, 1/29/19 (d)(e)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>487</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>346,118</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,009,997</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="64%"></TD>

   <TD width="7%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Commercial Banks &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CIT Group, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 5/01/14</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>84</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 84,069</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 5/01/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>290</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>288,550</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 5/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>400</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>398,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 5/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,621</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,600,738</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 5/02/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>250</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>246,875</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,618,232</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Commercial Services &amp; Supplies &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>AWAS Aviation Capital Ltd., 7.00%, 10/15/16 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>951</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>917,761</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>530</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>499,525</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,417,286</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Consumer Finance &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit Acceptance Corp., 9.13%, 2/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>360</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>364,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Inmarsat Finance Plc, 7.38%, 12/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>775</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>806,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,170,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Containers &amp; Packaging &#8212; 1.2%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Berry Plastics Corp., 8.25%, 11/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,600</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,648,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Graphic Packaging International, Inc., 9.50%, 6/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>220</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>239,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>OI European Group BV, 6.88%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>143</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>195,148</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Smurfit Kappa Acquisitions (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.25%, 11/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>335</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>461,979</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.75%, 11/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>338</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>463,688</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,008,065</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Financial Services &#8212; 1.9%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ally Financial, Inc., 2.53%, 12/01/14 (b)</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD&nbsp;&nbsp;&nbsp;&nbsp; 2,600</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,436,478</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Axcan Intermediate Holdings, Inc., 12.75%, 3/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>160</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>166,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Reynolds Group DL Escrow, Inc., 8.50%, 10/15/16 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>597</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>610,433</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Reynolds Group Issuer, Inc. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.75%, 10/15/16</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>472</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>657,687</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.13%, 4/15/19</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>530</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>502,175</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.88%, 8/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>300</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>297,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.88%, 2/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>395</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>367,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,037,923</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Telecommunication Services &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ITC Deltacom, Inc., 10.50%, 4/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>430</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>440,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Qwest Communications International, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.00%, 10/01/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>600</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>640,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series B, 7.50%, 2/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>434</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>439,425</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,520,675</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Electronic Equipment, Instruments &amp; Components &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CDW LLC, 8.00%, 12/15/18 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>370</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>366,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Health Care Equipment &amp; Supplies &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10.88%, 11/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,175</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,214,656</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.75%, 4/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>210</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>195,300</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,409,956</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Health Care Providers &amp; Services &#8212; 1.7%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>HCA, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.50%, 2/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,170</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,183,162</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.25%, 9/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>485</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>498,338</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.50%, 2/15/22</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,370</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,356,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tenet Healthcare Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.00%, 5/01/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>160</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>169,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.88%, 7/01/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,085</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,150,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,357,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>IMS Health, Inc., 12.50%, 8/20/17 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,860</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,139,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Hotels, Restaurants &amp; Leisure &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Little Traverse Bay Bands of Odawa Indians,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.00%, 8/31/20 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>373</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>309,590</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MGM Resorts International, 10.38%, 5/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>490</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>537,775</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>847,365</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>26 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_28"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT><BR>Schedule of Investments (continued) <BR></FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="61%"></TD>

   <TD width="7%"></TD>

   <TD width="12%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Household Durables &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Beazer Homes USA, Inc., 12.00%, 10/15/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,200</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 1,218,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>IT Services &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>First Data Corp., 7.38%, 6/15/19 (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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>815</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>766,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Independent Power Producers &amp; Energy Traders &#8212; 1.4%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Energy Future Holdings Corp., 10.00%, 1/15/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,003,871</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Energy Future Intermediate Holding Co. LLC,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10.00%, 12/01/20</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,723,952</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,727,823</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Industrial Conglomerates &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sequa Corp., 13.50%, 12/01/15 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,557</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,650,776</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Media &#8212; 2.8%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>AMC Networks, Inc., 7.75%, 7/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>225</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>232,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CCH II LLC, 13.50%, 11/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,050</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,212,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CSC Holdings, Inc., 8.50%, 4/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>420</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>454,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Checkout Holding Corp., 10.69%, 11/15/15 (a)(f)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>665</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>392,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Clear Channel Worldwide Holdings, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.25%, 12/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>401</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>425,060</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series B, 9.25%, 12/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,834</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,962,380</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>615</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>621,150</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unitymedia Hessen GmbH &amp; Co. KG (FKA UPC</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Germany GmbH), 8.13%, 12/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,040,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,341,215</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Metals &amp; Mining &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FMG Resources August 2006 Property Ltd.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 11/01/15 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>840</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>837,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Novelis, Inc., 8.38%, 12/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>935</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>965,388</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,803,288</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Multiline Retail &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Dollar General Corp., 11.88%, 7/15/17 (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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>445</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>492,838</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Oil, Gas &amp; Consumable Fuels &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Alpha Natural Resources, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.00%, 6/01/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>435</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>425,212</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.25%, 6/01/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>665</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>650,869</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Coffeyville Resources LLC, 9.00%, 4/01/15 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>275</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>291,500</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,367,581</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Paper &amp; Forest Products &#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 colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ainsworth Lumber Co. Ltd., 11.00%, 7/29/15 (a)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,298</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>908,544</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Longview Fibre Paper &amp; Packaging, Inc.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.00%, 6/01/16 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>340</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>336,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Verso Paper Holdings LLC, Series B, 4.00%, 8/01/14 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>340</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>278,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,523,944</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Pharmaceuticals &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Valeant Pharmaceuticals 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: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.50%, 7/15/16 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>980</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>931,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Professional Services &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FTI Consulting, Inc., 6.75%, 10/01/20</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>170</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>167,663</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Wireless Telecommunication 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 align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cricket Communications, Inc., 7.75%, 5/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,700</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,721,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Digicel Group Ltd. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.13%, 1/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>278</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>278,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.25%, 9/01/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>315</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>315,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>iPCS, Inc., 2.38%, 5/01/13 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,391,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Nextel Communications, Inc., Series E, 6.88%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>275</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>273,281</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,978,781</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Corporate Bonds &#8212; 21.0%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>54,536,843</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="65%"></TD>

   <TD width="5%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Aerospace &amp; Defense &#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 align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DynCorp International LLC, Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.25%, 7/05/16</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>939</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 894,273</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>SI Organization, Inc., New Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.50%, 11/22/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>840</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>756,338</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>TransDigm, Inc., Term Loan (First Lien), 4.00%, 2/14/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,791</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,719,360</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Wesco Aircraft Hardware Corp., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.25%, 4/07/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>931</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>899,993</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,269,964</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Airlines &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delta Air Lines, Inc., Credit New Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.50%, 4/20/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,212,008</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Auto Components &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Allison Transmission, Inc., Term Loan, 2.96%, 8/07/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,431</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,216,774</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Autoparts Holdings, Ltd., 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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.50%, 7/28/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,450</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,421,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Federal-Mogul Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 2.16%, 12/29/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>600</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>543,461</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan C, 2.15%, 12/28/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>306</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>277,086</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GPX International Tire Corp., Tranche B Term Loan:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.37%, 3/31/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>549</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12.00%, 3/31/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>UCI International, Inc., Term Loan, 5.50%, 7/26/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>746</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>724,795</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,183,116</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Biotechnology &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Grifols SA, Term Loan B, 6.00%, 6/01/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>850</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>829,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Building Products &#8212; 3.1%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Armstrong World Industries, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.00%, 3/09/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,172</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,100,274</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CPG International I, Inc., Term Loan B, 6.00%, 2/18/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,791</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,674,585</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Goodman Global, Inc., Initial Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.75%, 10/28/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,548</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,470,170</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Momentive Performance Materials (Blitz 06-103 GmbH),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche B-2B Term Loan, 4.79%, 5/05/15</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>648</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>835,248</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,080,277</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Capital Markets &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>American Capital Ltd., Term Loan B, 7.50%, 12/31/13</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>515</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>500,539</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>HarbourVest Partners, Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.25%, 12/14/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,812</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,757,659</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Nuveen Investments, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Extended Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.75% &#8211; 5.81%, 5/12/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,753</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,637,899</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Non-Extended Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.25%, 11/13/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>897</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>829,049</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,725,146</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Chemicals &#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 align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>American Rock Salt Holdings LLC, Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.50%, 4/25/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,222</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,171,533</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Arizona Chemical Co., LLC, Term Loan, 4.75%, 11/21/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>528</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>509,266</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ashland, Inc., Term Loan B, 3.75%, 7/30/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,200</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,173,216</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,400</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,369,662</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gentek, Inc., Term Loan B, 5.00% &#8211; 5.75%, 10/06/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,490</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,390,414</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MDI Holdings, LLC (FKA 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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 3.54%, 4/11/14</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>507</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>692,624</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Nexeo Solutions, LLC, Term Loan B, 5.00%, 9/08/17</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,197</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,102,234</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>PQ Corp. (FKA Niagara Acquisition, Inc.), Original Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Loan (First Lien), 3.48% &#8211; 3.51%, 7/30/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,450</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,325,120</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Styron Sarl, Term Loan B, 6.00%, 8/02/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,819</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,670,913</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tronox Worldwide LLC, Exit Term Loan, 7.00%, 10/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,761</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,730,062</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Univar, Inc., Term Loan B, 5.00%, 6/30/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,687</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,478,968</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>15,614,012</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 27</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_29"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT><BR>Schedule of Investments (continued) <BR></FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="63%"></TD>

   <TD width="8%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Commercial Services &amp; Supplies &#8212; 3.8%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ARAMARK Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Letter of Credit &#8212; 1 Facility, 2.06%, 1/27/14</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 15,412</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Letter of Credit &#8212; 2 Facility, 3.44%, 7/26/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>24</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>22,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>US Term Loan, 2.12%, 1/27/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>203</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>191,326</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>US Term Loan B, 3.50%, 7/26/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>358</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>334,531</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>AWAS Finance Luxembourg Sarl, Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.25%, 6/10/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>652</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>627,216</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Adesa Inc. (KAR Holdings, Inc.), Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.00%, 5/19/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,600</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,470,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Altegrity, Inc. (FKA US Investigations Services, Inc.),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche D Term Loan, 7.75%, 2/20/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,627</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,582,926</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delos Aircraft, Inc., Term Loan 2, 7.00%, 3/17/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,875</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,862,495</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Synagro Technologies, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.21% &#8211; 2.23%, 4/02/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,520</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,319,596</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Volume Services America, Inc. (Centerplate),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 10.50% &#8211; 10.75%, 9/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>993</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>949,495</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>West Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan 4.50%, 7/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>294</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>278,909</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 4.50%, 7/15/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>152</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>144,453</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,798,359</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Communications Equipment &#8212; 1.7%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Avaya, Inc. Term Loan B:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.06%, 10/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,016</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>904,079</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.81%, 10/26/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,917</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,651,361</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CommScope, Inc., Term Loan B, 5.00%, 1/14/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,995</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,915,200</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,470,640</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Construction &amp; Engineering &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BakerCorp., Inc., Term Loan B, 5.00%, 6/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>865</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>821,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Safway Services, LLC, First Out Tranche Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.00%, 12/16/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,700,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,521,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Consumer Finance &#8212; 1.9%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Springleaf Financial Funding Co. (FKA AGFS</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Funding Co.), Term Loan, 5.50%, 5/10/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,350</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,955,437</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Containers &amp; Packaging &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Anchor Glass Container Corp., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.00%, 3/02/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>265</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>261,296</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Berry Plastics Holding Corp., Term Loan C,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.21%, 4/03/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>277</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>246,310</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Graham Packaging Co., LP:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan C, 6.75%, 4/04/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>623</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>616,269</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan D, 6.00%, 9/23/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,092</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,080,833</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,204,708</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Consumer Services &#8212; 3.0%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Coinmach Service Corp., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.22% &#8211; 3.30%, 11/20/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,478</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,155,925</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Laureate Education, Inc., 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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.25%, 8/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,784</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,342,154</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Closing Date Term Loan, 2.69% &#8211; 2.76%, 7/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,182</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,016,048</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delayed Draw Term Loan, 2.72%, 7/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>217</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>200,769</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,714,896</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Financial 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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Reynolds Group Holdings, Inc., Term Loan E,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.50%, 2/09/18</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,426</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,360,453</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Telecommunication Services &#8212; 4.3%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Hawaiian Telcom Communications, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.00%, 11/01/15 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,350</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,348,312</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Integra Telecom Holdings, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.25%, 4/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,609</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,514,236</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="64%"></TD>

   <TD width="6%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Telecommunication Services (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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 3 Financing, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Incremental Tranche A Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.49% &#8211; 2.50%, 3/13/14</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,525</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 2,333,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 11.50%, 3/13/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,150</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,195,046</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B2, 2.49%, 9/03/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,450</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,251,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>US Telepacific Corp., Term Loan B, 5.75%, 2/23/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,497</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,440,513</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>11,082,832</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Electronic Equipment, Instruments &amp; Components &#8212; 2.2%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Aeroflex Inc., Term Loan B, 4.25%, 5/09/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,475</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,365,599</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CDW LLC (FKA CDW Corp.):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Extended Term Loan B, 4.25%, 7/14/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,037</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>941,081</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Non-Extended Term Loan, 3.71%, 10/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,372</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,290,059</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Flextronics International Ltd., Delayed Draw:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan A-2, 2.47%, 10/01/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>45</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>42,780</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan A-3, 2.44%, 10/01/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>39</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>36,669</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sensata Technologies Finance Company, LLC, New Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Loan, 4.00%, 5/11/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,100</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,018,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,694,813</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Energy Equipment &amp; Services &#8212; 2.5%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CCS Corp., Tranche B Term Loan, 3.25%, 11/14/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,617</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,434,526</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Dynegy Holdings, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Coal Co. Term Loan, 9.25%, 8/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>689</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>665,457</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gas Co. Term Loan, 9.25%, 8/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,261</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,238,933</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MEG Energy Corp., Tranche D Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.00%, 3/16/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,350</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,203,437</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,542,353</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Food &amp; Staples Retailing &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>AB Acquisitions UK Topco 2 Ltd. (FKA Alliance Boots),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Facility B1, 3.61%, 7/09/15</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GBP&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,825</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,547,088</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bolthouse Farms, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.50% &#8211; 5.75%, 2/11/16</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>508</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>494,666</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>US 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: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New Term Loan B, 5.75%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>698</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>649,373</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 2.71% &#8211; 2.72%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,772</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,586,191</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,277,318</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Food Products &#8212; 4.2%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Advance Pierre Foods, Term Loan (Second Lien):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 9/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,956</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,890,793</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>11.25%, 9/29/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,100</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,078,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Del Monte Corp., Term Loan B, 4.50%, 3/08/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,115</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,820,887</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Michaels Foods Group, Inc. (FKA M-Foods</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Holdings, Inc.), Term Loan B, 4.25%, 2/23/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>292</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>278,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Pinnacle Foods Finance LLC, Tranche D Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.00%, 4/02/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,213</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,195,380</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Solvest, Ltd. (Dole):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche B-1 Term Loan, 5.00% &#8211; 6.00%, 7/06/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>558</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>537,595</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche C-1 Term Loan, 5.00% &#8211; 6.00%, 7/06/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,037</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>998,390</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10,799,845</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Health Care Equipment &amp; Supplies &#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 colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Biomet, Inc., Dollar Term Loan, 3.22% &#8211; 3.25%, 3/25/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>685</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>650,065</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Capsugel Healthcare Ltd., Term Loan, 5.25%, 8/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,255,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DJO Finance LLC (FKA ReAble Therapeutics</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Finance LLC), Term Loan, 3.22%, 5/20/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>986</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>919,784</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Iasis Healthcare LLC, Term Loan, 5.00%, 5/03/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,639</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,511,389</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Immucor, Inc., Term Loan B, 7.25%, 8/17/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,080</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,041,530</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,378,568</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Health Care Providers &amp; Services &#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 align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CHS/Community Health Systems, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delayed Draw Term Loan, 2.47% &#8211; 2.57%, 7/25/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>82</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>76,115</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Extended Term Loan B, 3.72% &#8211; 3.82%, 1/25/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>175</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>159,906</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Non Extended Term Loan, 2.47% &#8211; 2.57%, 7/25/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,584</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,468,477</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ConvaTec, Inc., Dollar Term Loan, 5.75%, 12/22/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,294</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,220,197</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DaVita, Inc., Tranche B Term Loan, 4.50%, 10/20/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,692</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,640,755</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Emergency Medical Services, Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.25% &#8211; 6.00%, 5/25/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,910</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,766,750</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>28 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_30"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT><BR>Schedule of Investments (continued) <BR></FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="61%"></TD>

   <TD width="9%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Health Care Providers &amp; Services (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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>HCA, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche B-1 Term Loan, 3.50%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>636</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 596,813</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche B-2 Term Loan, 3.50%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>787</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>741,040</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Harden Healthcare, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche A Additional Term Loan, 7.75%, 3/02/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,130</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,107,195</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche A Term Loan, 8.50%, 3/02/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>692</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>678,253</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>inVentiv Health, Inc. (FKA Ventive Health, Inc.):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Incremental Term Loan B3, 6.75%, 5/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>800</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>752,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 6.50%, 8/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,796</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,693,955</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Medpace, Inc., Term Loan, 6.50%, 6/22/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,250</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,187,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Renal Advantage Holdings, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.75%, 12/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,194</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,169,129</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>14,258,085</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Health Care Technology &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>IMS Health, Inc., Tranche B Dollar Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.50%, 8/25/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,207</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,157,545</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MedAssets, Inc., Term Loan B, 5.25%, 11/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>779</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>737,599</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,895,144</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Hotels, Restaurants &amp; Leisure &#8212; 7.6%</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 colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ameristar Casinos, Inc., Term Loan B, 4.00%, 4/13/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,546</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,484,280</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Caesars Entertainment Operating Co., Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-1, 3.30%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>192</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>165,550</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-2, 3.22% &#8211; 3.25%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>315</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>271,391</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-3, 3.25%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,795</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,988,965</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-4, 9.50%, 10/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>572</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>570,906</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Dunkin&#8217; Brands, Inc., New Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.00%, 11/23/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,198</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,111,197</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Golden Living, Term Loan, 5.00%, 5/04/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,775</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,575,313</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Las Vegas Sands LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delayed Draw Term Loan, 1.72%, 5/23/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>202</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>187,430</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 1.72%, 5/23/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>798</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>743,467</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Penn National Gaming, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.75%, 7/16/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>350</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>340,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>SeaWorld Parks &amp; Entertainment, Inc. (FKA SW</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Acquisitions Co., Inc.), Term Loan B, 4.00%, 8/17/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,764</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,701,825</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Six Flags Theme Parks, Inc., Tranche B Term Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(First Lien), 5.25%, 6/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,585</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,545,312</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Twin River Worldwide Holdings, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.50%, 11/05/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>809</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>802,497</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>VML US Finance LLC (FKA Venetian Macau):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New Project Term Loan, 4.73%, 5/27/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>587</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>581,064</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term B Delayed Draw Project Loan, 4.73%, 5/25/12</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>926</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>915,690</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term B Funded Project Loan, 4.73%, 5/27/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,765</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,743,372</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>19,728,634</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Visant Corp. (FKA Jostens), Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.25%, 12/22/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>48</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>43,612</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>IT Services &#8212; 4.5%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ceridian Corp., US Term Loan, 3.22%, 11/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,241</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,060,911</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>First Data Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Initial Tranche B-1 Term Loan, 2.97%, 9/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>250</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>219,854</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Initial Tranche B-2 Term Loan, 4.22%, 3/23/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,476</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,421,774</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Initial Tranche B-3 Term Loan, 2.97%, 9/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>115</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>100,737</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>InfoGROUP, Inc., Term Loan, 5.75%, 5/22/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>709</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>650,567</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>iPayment, Inc., Term Loan B, 5.75%, 5/08/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,106</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,046,111</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>TransUnion LLC, Replacement Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.75%, 2/12/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,227</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,060,724</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>11,560,678</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Independent Power Producers &amp; Energy Traders &#8212; 3.7%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The AES Corp., Term Loan B, 4.25%, 6/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,995</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,916,197</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Calpine Corp., Term Loan B, 4.50%, 4/02/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,789</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,492,888</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Texas Competitive Electric Holdings Co., LLC (TXU),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Extended Term Loan, 4.71% &#8211; 4.77%, 10/10/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,748</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,219,357</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,628,442</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="65%"></TD>

   <TD width="5%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Industrial Conglomerates &#8212; 1.2%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sequa Corp., Term Loan, 3.50% &#8211; 3.51%, 12/03/14</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;3,318</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 3,099,331</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Insurance &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CNO Financial Group, Inc., Term Loan, 6.25%, 9/30/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,997</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,951,863</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Machinery &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Navistar Financial Corp., Term Loan B, 4.50%, 12/16/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>819</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>796,234</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Terex Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 6.03%, 4/28/17</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>135</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>188,110</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 5.50%, 4/28/17</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>980,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tomkins Plc, Term Loan B, 4.25%, 9/29/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,732</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,629,888</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,594,232</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Marine &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Horizon Lines, LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Revolving Loan, 0.50% &#8211; 6.30%, 8/08/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>569</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>554,874</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 6.25%, 8/08/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>239</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>231,853</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>786,727</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Media &#8212; 17.7%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>AMC Networks, Inc., Term Loan B, 4.00%, 12/31/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,700</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,638,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Acosta, Inc., Term Loan, 4.75%, 3/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,995</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,881,544</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Affinion Group, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.00%, 7/16/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,604</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,444,384</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Atlantic Broadband Finance, LLC, Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.00%, 3/08/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,014</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>959,265</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bresnan Telecommunications Co. LLC, Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.50%, 12/14/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,910</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,777,342</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Catalina Marketing Corp., Term Loan B, 2.97%, 10/01/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>235</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>214,908</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cengage Learning Acquisitions, Inc. (Thomson Learning):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 2.50%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,292</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,894,749</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche 1 Incremental Term Loan, 7.50%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>767</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>732,481</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Charter Communications Operating, LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 7.25%, 3/06/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>28</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>28,085</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan C, 3.50%, 9/06/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,685</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,556,372</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Clarke American Corp., Term Facility B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.72% &#8211; 2.75%, 6/30/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>881</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>731,616</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Clear Channel Communications, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.87%, 1/28/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,180</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,631,599</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cumulus Media, Inc., Term Loan, 5.75%, 8/30/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,400</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,310,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Getty Images, Inc., Initial Term Loan, 5.25%, 11/07/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>463</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>453,632</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gray Television, Inc., Term Loan B, 3.71%, 12/31/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,222</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,117,539</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>HMH Publishing Co., Ltd., Tranche A Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.21%, 6/12/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,453</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,167,581</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Hubbard Broadcasting, Term Loan B (Second Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.25%, 4/28/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>951,670</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Intelsat Jackson Holdings S.A. (FKA Intelsat Jackson</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Holdings, Ltd.), Tranche B Term Loan, 5.25%, 4/02/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,484</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,208,191</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interactive Data Corp., New Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.50%, 2/12/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,918</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,759,053</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Knology, Inc., Term Loan B, 4.00%, 8/18/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>619</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>585,989</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Lavena Holding 3 GmbH (Prosiebensat.1 Media AG):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Facility B1, 4.20%, 3/06/15</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>304</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>338,575</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Facility C1, 4.45%, 3/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>304</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>340,757</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Mediacom Illinois, LLC (FKA Mediacom</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Communications, LLC), Tranche D Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.50%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>445</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>425,420</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Newsday, LLC, Fixed Rate Term Loan, 10.50%, 8/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,581,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Nielsen Finance LLC, Class B Dollar Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.96%, 5/02/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,391</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,307,162</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sinclair Television Group, Inc., New Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.00%, 10/28/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>846</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>833,332</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sunshine Acquisition Ltd. (FKA HIT Entertainment),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Facility, 5.51%, 6/01/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,882</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,810,150</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>UPC Broadband Holding B.V., Term U,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.44%, 12/31/17</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,231</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,996,020</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Univision Communications, Inc., Extended First Lien</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 4.47%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,768</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,520,883</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 29</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_31"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT><BR>Schedule of Investments (continued) <BR></FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="65%"></TD>

   <TD width="5%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>WC Luxco Sarl, Term Loan B3, 4.25%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>439</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 421,072</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Weather Channel, Term Loan B, 4.25%, 2/13/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,274</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,190,372</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>45,810,118</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Metals &amp; Mining &#8212; 2.8%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Novelis, Inc., Term Loan, 3.75%, 3/10/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,850</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,692,224</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>SunCoke Energy, Inc., Term Loan B, 4.00%, 7/26/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>950</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>902,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Walter Energy, Inc., Term Loan B, 4.00%, 4/02/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,907</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,731,233</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,325,957</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FirstLight Power Resources, Inc. (FKA NE Energy, Inc.),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term B Advance (First Lien), 2.75%, 11/01/13</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>379</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>359,054</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Multiline 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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Dollar General Corp., Tranche B-2 Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.96% &#8211; 2.97%, 7/07/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>616</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>597,567</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Hema Holding BV:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Facility B, 3.43%, 7/06/15</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>399</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>532,788</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Facility C, 4.18%, 7/05/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>399</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>535,652</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,666,007</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Oil, Gas &amp; Consumable Fuels &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EquiPower Resources Holdings, LLC, Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.75%, 1/26/18</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,646</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,577,983</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gibson Energy, Term Loan B, 5.75%, 6/14/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,800</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,701,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,234</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,211,832</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,490,815</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Paper &amp; Forest Products &#8212; 1.2%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Georgia-Pacific LLC, Term Loan B, 2.32%, 12/21/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,122</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,114,076</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Verso Paper Finance Holdings LLC, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.51% &#8211; 7.26%, 2/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,268</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,950,152</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,064,228</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Pharmaceuticals &#8212; 2.5%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,189</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,974,478</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Endo Pharmaceuticals Holdings, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.00%, 6/18/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,271,569</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Quinteles Transnational Corp., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.00%, 6/08/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,360</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,261,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>RPI Finance Trust, Term Loan Tranche 2, 4.00%, 5/09/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>970,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Warner Chilcott Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-1, 4.25%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>638</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>611,670</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-2, 4.25%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>319</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>306,234</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,395,351</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Professional Services &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Booz Allen Hamilton, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.00%, 8/03/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,148</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,123,102</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fifth Third Processing Solutions, LLC, Term Loan B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(First Lien), 4.50%, 11/03/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,493</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,437,481</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,560,583</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Real Estate Investment Trusts (REITs) &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>iStar Financial, Inc., Term Loan (Second Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.00%, 6/28/13</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,195</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,132,991</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Real Estate Management &amp; Development &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Mattamy Funding Partnership, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.56%, 4/11/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>405</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>380,382</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Realogy Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delayed Draw Term Loan, 3.30%, 10/10/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,603</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,414,570</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Extended 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: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.44%, 10/10/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>66</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>58,245</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Extended Term Loan B, 4.52%, 10/10/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,736</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,252,165</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 3.27%, 10/10/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>524</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>462,430</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,567,792</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="64%"></TD>

   <TD width="6%"></TD>

   <TD align=middle width="12%"></TD>

   <TD align=middle width="2%"></TD>

   <TD align=middle width="14%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Road &amp; Rail &#8212; 0.3%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The Hertz Corp., Term Loan B, 3.75%, 3/09/18</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>798</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 756,105</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Semiconductors &amp; Semiconductor Equipment &#8212; 0.7%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Freescale Semiconductor, Inc., Extended Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.44%, 12/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>851</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>773,508</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Microsemi Corp., Term Loan B, 4.00%, 11/02/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,095</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,044,339</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,817,847</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Software &#8212; 0.6%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Rovi Corp., Tranche B Term Loan, 4.00%, 2/07/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>998</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>959,266</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Vertafore, Inc., Term Loan B, 5.25%, 7/29/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>682</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>648,348</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=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,607,614</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Specialty Retail &#8212; 4.8%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Academy Ltd., Term Loan, 6.00%, 8/03/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,700</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,613,725</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Burlington Coat Factory Warehouse Corp., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.25%, 2/23/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>938</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>884,183</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>General Nutrition Centers, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.25%, 3/02/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,400</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,265,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>J. Crew Group, Inc., Term Loan B, 4.75%, 3/07/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>823</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>732,933</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Jo-Ann Stores, Inc., Term Loan B, 4.75%, 3/16/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>663</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>616,357</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Michaels Stores, Inc.:</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-1, 2.50%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>736</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>695,392</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-2, 4.75%, 7/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,470</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,383,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Petco Animal Supplies, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.50%, 11/24/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,351</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,210,175</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Toys &#8216;R&#8217; Us Delaware, Inc.:</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Initial Loan, 6.00%, 9/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,743</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,633,435</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 5.25%, 5/25/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>399</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>370,404</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,404,604</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Wireless Telecommunication Services &#8212; 1.5%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MetroPCS Wireless, Inc.:</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 4.00%, 3/16/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>498</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>466,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche B-2 Term Loan, 4.07%, 11/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>981</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>917,626</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Vodafone Americas Finance 2, Inc.:</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Initial Loan, 6.88%, 8/11/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,873</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,882,436</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 6.25%, 7/11/16 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>703,500</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=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,969,662</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Floating Rate Loan Interests &#8212; 110.8%</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 colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>287,191,571</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interest</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><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Other Interests (g)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Auto Components &#8212; 0.8%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delphi Debtor-in-Possession Holding Co. LLP, Class B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Membership Interests</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;(h)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,975,725</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Financial Services &#8212; 0.3%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA JGW SPV, LLC (J.G. Wentworth LLC Preferred Equity</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interests) (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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;(h)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>742,860</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Other Interests &#8212; 1.1%</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=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,718,585</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Warrants (j)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Shares</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Software &#8212; 0.0%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>HMH Holdings/EduMedia (Expires 3/09/17)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>11,690</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Warrants &#8212; 0.0%</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=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Long-Term Investments</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(Cost &#8212; $377,495,034) &#8212; 137.1%</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 colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>355,344,112</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>30 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



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<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT><BR>Schedule of Investments (continued) <BR></FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="64%"></TD>

   <TD width="15%"></TD>

   <TD width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Short-Term Securities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Shares</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock Liquidity Funds, TempFund, Institutional</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Class, 0.07% (k)(l)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,396,667</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 5,396,667</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Short-Term Securities</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(Cost &#8212; $5,396,667) &#8212; 2.1%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,396,667</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Options Purchased</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Marsico Parent Superholdco LLC,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Strike Price USD 942.86, Expires 12/21/19,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Broker Goldman Sachs Bank USA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>20</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Options Purchased (Cost &#8212; $19,556) &#8212; 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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Investments (Cost &#8212; $382,911,257*) &#8212; 139.2%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>360,740,779</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Liabilities in Excess of Other Assets &#8212; (39.2)%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(101,536,195)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net Assets &#8212; 100.0%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$259,204,584</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>* The cost and unrealized appreciation (depreciation) of investments as of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>August 31, 2011, as computed for federal income tax purposes, were as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="57%"></TD>

   <TD width="42%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Aggregate cost</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 381,527,716</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gross unrealized appreciation</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 3,933,687</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gross unrealized depreciation</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px; BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(24,720,624)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net unrealized depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (20,786,937)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>(a) Security exempt from registration under Rule 144A of the Securities Act of 1933.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>These securities may be resold in transactions exempt from registration to qualified</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>institutional investors.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(b) Variable rate security. Rate shown is as of report date.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(c) Non-income producing security.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(d) Represents a payment-in-kind security which may pay interest/dividends in</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>additional par/shares.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(e) Convertible security.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(f) Represents a zero-coupon bond. Rate shown reflects the current yield as of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>report date.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(g) Other interests represent beneficial interests in liquidation trusts and other</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>reorganization or private entities.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(h) Amount is less than $500.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(i) The investment is held as a wholly owned subsidiary of the Fund.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(j) Warrants entitle the Fund to purchase a predetermined number of shares of com-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>mon stock and are non-income producing. The purchase price and number of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>shares are subject to adjustment under certain conditions until the expiration date,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>if any.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(k) Investments in companies considered to be an affiliate of the Fund during the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>as amended, were as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="16%"></TD>

   <TD width="30%"></TD>

   <TD width="16%"></TD>

   <TD width="23%"></TD>

   <TD width="13%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Shares Held at</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Shares Held at</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Affiliate</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>August 31, 2010</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Activity</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>August 31, 2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Income</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock Liquidity</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Funds, TempFund,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px; BORDER-BOTTOM: #000000 1px solid" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Institutional Class&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 788,199</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,608,468</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,396,667</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 4,978</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>(l) Represents the current yield as of report date.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Foreign currency exchange contracts as of August 31, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="6%"></TD>

   <TD width="14%"></TD>

   <TD width="6%"></TD>

   <TD width="16%"></TD>

   <TD width="22%"></TD>

   <TD width="20%"></TD>

   <TD width="13%"></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 style="TEXT-INDENT: 11px" align=right colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unrealized</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Currency</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Currency</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Settlement&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Appreciation</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Purchased</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sold</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Counterparty</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Date&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;(Depreciation)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,607,727</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CAD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,578,500</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/07/11 </FONT></TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>(23,074)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CAD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,360,000</FONT>&nbsp;</TD>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,400,701</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/07/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,168</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,319,092</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,105,500</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/26/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(10,147)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>468,850</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>325,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>UBS AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/26/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,294</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>210,700</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>301,850</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/26/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>623</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,071,692</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>749,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Morgan Stanley</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Capital</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/26/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(3,541)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>199,291</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>140,000</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/26/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1,688)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>370,000</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 526,605&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Deutsche Bank AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/26/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,551</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,958,186</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GBP</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,225,500</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Royal Bank</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>of Scotland Plc</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/07/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(30,394)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>418,552</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GBP</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>260,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citibank NA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/07/11</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(3,342)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (57,550)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>For Fund compliance purposes, the Fund&#8217;s industry classifications refer to any one</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>or more of the industry sub-classifications used by one or more widely recognized</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>market indexes or rating group indexes, and/or as defined by Fund management.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>These definitions may not apply for purposes of this report, which may combine</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>such industry sub-classifications for reporting ease.</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fair Value Measurements &#8212; Various inputs are used in determining the fair value of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>investments and derivative financial instruments. These inputs are categorized in</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>three broad levels for financial statement purposes as follows:</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 1 &#8212; price quotations in active markets/exchanges for identical assets</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>and liabilities</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 2 &#8212; other observable inputs (including, but not limited to: quoted prices for</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>similar assets or liabilities in markets that are active, quoted prices for identical</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>or similar assets or liabilities in markets that are not active, inputs other than</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>quoted prices that are observable for the assets or liabilities (such as interest</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>default rates) or other market-corroborated inputs)</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 3 &#8212; unobservable inputs based on the best information available in the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>circumstances, to the extent observable inputs are not available (including the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fund&#8217;s own assumptions used in determining the fair value of investments and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>derivative financial instruments)<BR></FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The categorization of a value determined for investments and derivative financial</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>instruments is based on the pricing transparency of the investment and derivative</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>financial instrument and does not necessarily correspond to the Fund&#8217;s perceived</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>risk of investing in those securities. For information about the Fund&#8217;s policy regarding</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>valuation of investments and derivative financial instruments and other significant</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>accounting policies, please refer to Note 1 of the Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 31</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_33"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)<BR></FONT>Schedule of Investments (concluded) <BR></FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The following tables summarize the inputs used as of August 31, 2011 in determin-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ing the fair valuation of the Fund&#8217;s investments and derivative financial instruments:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="23%"></TD>

   <TD width="21%"></TD>

   <TD width="19%"></TD>

   <TD width="17%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Valuation Inputs</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 2</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 3</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Long-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Investments:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Asset-Backed</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212; </FONT></TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>2,735,224</FONT></TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>7,328,370&nbsp;&nbsp;&nbsp;&nbsp; $ 10,063,594</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Common Stocks .</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 329,506</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>312,368</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>191,645</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>833,519</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Corporate Bonds.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>52,243,299</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,293,544</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>54,536,843</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Floating Rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Loan Interests</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 264,113,096</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>23,078,475</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>287,191,571</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Other</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interests</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,975,725</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>742,860</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,718,585</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Short-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,396,667</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,396,667</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Liabilities:</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unfunded Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Commitments</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px; BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(77,372)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(77,372)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=4><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;$ 5,726,173&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$321,302,340&nbsp;&nbsp;&nbsp;&nbsp;$ 33,634,894&nbsp;&nbsp;$360,663,407</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="24%"></TD>

   <TD width="13%"></TD>

   <TD width="8%"></TD>

   <TD width="17%"></TD>

   <TD width="21%"></TD>

   <TD width="14%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Valuation Inputs</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 2</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 3</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Derivative Financial Instruments</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Assets:</FONT>&nbsp;</TD>

   <TD align=middle>&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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Foreign currency</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>exchange</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>contracts</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;<FONT face=Arial color=#231f20 size=1>&#8212; </FONT></TD>

   <TD align=left></TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>14,636</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 7px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212; </FONT></TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>14,636</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Liabilities:</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Foreign currency</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>exchange</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=right>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle>&nbsp;<FONT face=Arial color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;(72,186)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 7px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(72,186)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle>&nbsp;<FONT face=Arial color=#231f20 size=1>&#8212; </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>(57,550)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 7px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212; </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>(57,550)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left colSpan=6><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Derivative financial instruments are foreign currency exchange contracts, which</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left colSpan=6><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>are valued at the unrealized appreciation/depreciation of the instruments.</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 cellSpacing=0 border=0>



<TR>

   <TD width="29%"></TD>

   <TD width="15%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Asset-Backed</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Common</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Corporate</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Floating Rate</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Other</FONT>&nbsp;</TD>

   <TD align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unfunded Loan&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT></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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Stocks</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bonds</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Loan Interests&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Interests&nbsp;&nbsp;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Commitments</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Assets/Liabilities:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Balance, as of August 31, 2010</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 472,121</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 1,318,391</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$39,854,006</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 684,050</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (69,105)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$42,259,463</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Accrued discounts/premiums</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 66,369</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>70,543</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>135,670</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>272,582</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net realized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(20,440)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>11,643</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(671,343)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(680,140)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net change in unrealized appreciation/</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>depreciation</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(426,551)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(205,479)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>605,021</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>690,209</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>49,831</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>42,838</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>755,869</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Purchases</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,688,552</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>446,652</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>16,038,101</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,979</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>24,182,284</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sales</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(54,557)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(158,706)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(27,386,658)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(27,599,921)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Transfers in</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,922,650</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>26,267</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,948,917</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Transfers out</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(8,504,160)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(8,504,160)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Balance, as of August 31, 2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 7,328,370</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 191,645</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 2,293,544</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$23,078,475</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 742,860</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$33,634,894</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>2 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Included in the related net change in unrealized appreciation/depreciation in the Statements of Operations. The change in unrealized appreciation/depreciation on investments</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>still held on August 31, 2011 was $(546,270).</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The Fund&#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 transfer.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>A reconciliation of Level 3 investments and derivative financial instruments is presented when the Fund had a significant amount of Level 3 investments and derivative financial</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>instruments at the beginning and/or end of the year in relation to net assets.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>32 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Limited Duration Income Trust (BLW)</FONT><BR>Schedule of Investments </FONT><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=2>August 31, 2011 <BR></FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="61%"></TD>

   <TD width="19%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Asset-Backed Securities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Asset-Backed Securities &#8212; 6.3%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>321 Henderson Receivables I LLC, Series 2010-3A,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Class A, 3.82%, 12/15/48 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 4,872</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 4,862,842</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ARES CLO Funds, Series 2005-10A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.64%, 9/18/17 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,336,605</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ballyrock CDO Ltd., Series 2006-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.67%, 8/28/19 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,177,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CSAM Funding, Series 2A, Class B1, 7.05%, 10/15/16 750</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>713,925</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Canaras Summit CLO Ltd., Series 2007-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.73%, 6/19/21 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,735</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,392,077</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Capital One Multi-Asset Execution Trust, Series 4-3C,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.63%, 4/19/17 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GBP 2,650</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,514,966</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Conseco Financial Corp., Series 1995-5, Class M1,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.65%, 9/15/26 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 1,291</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,334,755</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2007-6, Class 2A1, 0.32%, 9/25/37</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>148</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>144,303</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2007-7, Class 2A2, 0.38%, 10/25/47</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,230</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,544,387</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2007-10, Class 2A1, 0.27%, 6/25/47</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,857</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,771,234</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2007-12, Class 2A1, 0.57%, 8/25/47</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,186</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,016,640</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GSAA Trust, Series 2007-3, Class 1A2,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.39%, 3/25/47 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,333</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,436,561</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gannett Peak CLO Ltd., Series 2006-1X, Class A2,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.61%, 10/27/20 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,330</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>994,175</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Portola CLO Ltd., Series 2007-1X, Class B1,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.74%, 11/15/21 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,770</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,577,778</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>SLC Student Loan Trust, Series 2006-A, Class A4,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.37%, 1/15/19 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,670</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,633,988</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Santander Consumer Acquired Receivables Trust,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2011-S1A, Class D, 3.15%, 8/15/16 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,251</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,231,396</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2011-S1A, Class D, 3.10%, 5/15/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,827</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,819,788</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2011-S2A, Class B, 2.06%, 6/15/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>958</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>953,319</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2011-S2A, Class C, 2.86%, 6/15/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>993</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>988,224</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Spirit Issuer Plc, Series A2, 1.91%, 12/28/31 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GBP 1,800</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,395,991</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>T2 Income Fund CLO Ltd., Series 2007-1A, Class B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.85%, 7/15/19 (a)(b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 1,515</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,353,198</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>38,193,652</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Interest Only Asset-Backed Securities &#8212; 0.3%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sterling Bank Trust, Series 2004-2, Class Note,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.08%, 3/30/30 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,801</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,004,092</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sterling Coofs Trust, Series 1, 2.36%, 4/15/29</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>11,451</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>908,892</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,912,984</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Asset-Backed Securities &#8212; 6.6%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>40,106,636</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Common Stocks (c)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Shares</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Construction &amp; Engineering &#8212; 0.0%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USI United Subcontractors</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,116</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>48,925</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Financial Services &#8212; 0.4%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Kcad Holdings I Ltd.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>250,932,005</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,832,270</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BLB Worldwide Holdings, Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>51,947</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>515,158</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Metals &amp; Mining &#8212; 0.0%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Euramax International</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>234</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>65,436</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bankruptcy Management Solutions, Inc.</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>880</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>HMH Holdings/EduMedia</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>238,664</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>477,328</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>477,332</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Common Stocks &#8212; 0.6%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,939,121</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="65%"></TD>

   <TD width="15%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Corporate Bonds</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Aerospace &amp; Defense &#8212; 0.3%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Kratos Defense &amp; Security Solutions, 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" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10.00%, 6/01/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 1,966</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 2,032,589</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Airlines &#8212; 1.5%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>American Airlines, Inc., 10.50%, 10/15/12</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,890</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,980,312</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Continental Airlines, Inc., 6.75%, 9/15/15 (a)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,350</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,316,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delta Air Lines, Inc., Series B, 9.75%, 12/17/16 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,005</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,029,776</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>US Airways Pass-Through Trust, 10.88%, 10/22/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,625</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,584,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>United Air Lines, Inc., 12.75%, 7/15/12 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,455</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,565,684</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,476,397</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Auto Components &#8212; 0.4%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>B-Corp Merger Sub, Inc., 8.25%, 6/01/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>240</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>223,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delphi Corp., 6.13%, 5/15/21 (a)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>780</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>752,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Titan International, Inc., 7.88%, 10/01/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,330</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,372,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Beverages &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Crown European Holdings SA, 7.13%, 8/15/18 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR 585</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>810,941</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Building Products &#8212; 0.7%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Building Materials Corp. of America (a)(d):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 2/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 1,345</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,345,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.75%, 5/01/21</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,120</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,072,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Momentive Performance Materials, Inc., 9.00%, 1/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,890</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,615,950</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,033,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Capital Markets &#8212; 0.9%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>American Capital Ltd., 7.96%, 12/31/13 (d)(e)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,675</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,663,241</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>E*Trade Financial Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12.50%, 11/30/17 (f)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,035</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,340,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.22%, 8/31/19 (a)(g)(h)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>249</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>297,555</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>SteelRiver Transmission Co. LLC, 4.71%, 6/30/17 (a)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,284</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,329,006</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,630,052</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Chemicals &#8212; 1.6%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>American Pacific Corp., 9.00%, 2/01/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,100</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,080,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Celanese US Holdings LLC, 5.88%, 6/15/21 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>805</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>807,012</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Hexion US Finance Corp., 9.00%, 11/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>735</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>641,288</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Kinove German Bondco GmbH, 9.63%, 6/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>960,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Nova Chemicals Corp., 8.38%, 11/01/16 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,905,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>OXEA Finance/Cy SCA, 9.50%, 7/15/17 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>418</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>413,820</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,808,495</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Commercial Banks &#8212; 1.8%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CIT Group, Inc., 5.25%, 4/01/14 (a)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,321,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Regions Financial Corp. (d):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.38%, 5/15/12</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,590</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,590,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.88%, 4/26/13</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,355</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,314,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>11,225,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Commercial Services &amp; Supplies &#8212; 0.8%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ACCO Brands Corp., 10.63%, 3/15/15 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,425</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,558,594</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ARAMARK Corp., 8.50%, 2/01/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,195</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,233,837</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,240</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,168,700</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Mobile Mini, Inc., 7.88%, 12/01/20</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>915</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>889,838</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>West Corp., 8.63%, 10/01/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>165</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>160,875</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=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,011,844</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Avaya, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.75%, 11/01/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>510</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>433,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10.13%, 11/01/15 (f)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,480</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,278,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 4/01/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>400</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>360,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EH Holding Corp., 6.50%, 6/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>850</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>850,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,921,850</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 33</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_35"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Limited Duration Income Trust (BLW)</FONT><BR>Schedule of Investments (continued) <BR></FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="64%"></TD>

   <TD width="7%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit Acceptance Corp., 9.13%, 2/01/17 (a)(d)</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>910</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 919,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ford Motor Credit Co. LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.00%, 1/13/12 (b)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>565</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>565,011</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.80%, 6/01/12 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,665</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,714,987</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 4/15/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>400</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>427,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.63%, 8/15/17 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,066</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,115,990</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Hyundai Capital America, 3.75%, 4/06/16 (a)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,285</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,325,458</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,067,546</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Containers &amp; Packaging &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ardagh Packaging Finance Plc, 7.38%, 10/15/17 (a)</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>695</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>935,970</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Berry Plastics Corp., 8.25%, 11/15/15 (d)</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,400</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,472,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Graphic Packaging International, Inc., 9.50%, 6/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>510</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>554,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Pregis Corp., 12.38%, 10/15/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>695</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>639,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Smurfit Kappa Acquisitions (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.25%, 11/15/17</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>570</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>786,054</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.75%, 11/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>726</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>995,969</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,384,018</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Financial Services &#8212; 4.3%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ally Financial, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.30%, 2/12/15 (d)</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;2,460</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,583,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.50%, 9/15/20 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,630</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,601,475</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.00%, 11/01/31</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,670</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,568,119</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bank of America Corp., 4.50%, 4/01/15 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>709</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>715,893</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citigroup, Inc., 4.75%, 5/19/15 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,128,709</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Forethought Financial Group, Inc., 8.63%, 4/15/21 (a)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>750</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>773,687</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>JPMorgan Chase &amp; Co., 3.40%, 6/24/15 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,182,778</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Reynolds Group DL Escrow, Inc., 8.75%, 10/15/16 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,125</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,172,812</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Reynolds Group Issuer, Inc. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.75%, 10/15/16</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>340</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>473,758</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.13%, 4/15/19 (d)</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,990</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,885,525</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.88%, 8/15/19</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>865</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>856,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.88%, 2/15/21 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,475</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,371,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.25%, 2/15/21</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>870</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>732,975</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>WMG Acquisition Corp., 9.50%, 6/15/16 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>280</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>285,600</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>26,332,431</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Telecommunication Services &#8212; 2.8%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ITC Deltacom, Inc., 10.50%, 4/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,350</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,383,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 3 Escrow, Inc., 8.13%, 7/01/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,393</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,273,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 3 Financing, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.20%, 2/15/15 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,725</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,500,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.75%, 2/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,175</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,151,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Qwest Communications International, Inc. (d):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.50%, 2/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>610</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>617,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.00%, 10/01/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,668,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series B, 7.50%, 2/15/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,470</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,513,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Qwest Corp., 8.38%, 5/01/16 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,590</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,952,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>TW Telecom Holdings, Inc., 8.00%, 3/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>470</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>484,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Windstream Corp., 8.13%, 8/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>590</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>626,875</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>17,172,675</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Electronic Equipment, Instruments &amp; Components &#8212; 1.4%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Agilent Technologies, Inc., 4.45%, 9/14/12 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,325</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,561,971</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CDW LLC, 8.00%, 12/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>870</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>861,300</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,423,271</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Energy Equipment &amp; Services &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Compagnie Generale de Geophysique &#8212; Veritas,</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.75%, 5/15/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>330</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>331,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Frac Tech Services LLC, 7.13%, 11/15/18 (a)(d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,690</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,749,150</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Key Energy Services, Inc., 6.75%, 3/01/21 (d)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,040</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,019,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Oil States International, Inc., 6.50%, 6/01/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>465</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>465,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>SunCoke Energy, Inc., 7.63%, 8/01/19 (a)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>260</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>255,450</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,820,450</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="65%"></TD>

   <TD width="16%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Corporate Bonds</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Food Products &#8212; 0.2%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Del Monte Foods Co., 7.63%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 1,290,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>JBS USA LLC, 7.25%, 6/01/21 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>210</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>190,837</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,481,087</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Gas Utilities &#8212; 0.5%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Florida Gas Transmission Co. LLC,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.00%, 7/15/15 (a)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,139,788</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Targa Resources Partners LP, 6.88%, 2/01/21 (a)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>690</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>683,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,822,888</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Health Care Equipment &amp; Supplies &#8212; 1.2%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CareFusion Corp., 5.13%, 8/01/14 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,300,993</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DJO Finance LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10.88%, 11/15/14 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,625</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,713,594</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.75%, 4/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>540</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>502,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Teleflex, Inc., 6.88%, 6/01/19</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>675</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>669,937</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=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,186,724</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Health Care Providers &amp; Services &#8212; 2.2%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Aviv Healthcare Properties LP, 7.75%, 2/15/19</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>645</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>641,775</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>HCA, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.50%, 2/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,845</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,877,006</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.25%, 9/15/20 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,575</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,618,313</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tenet Healthcare Corp. (d):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.00%, 5/01/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>752</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>797,120</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10.00%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,742</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,416,200</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=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>13,350,414</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Health Care Technology &#8212; 0.8%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>IMS Health, Inc., 12.50%, 8/20/17 (a)(d)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,300</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,945,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Hotels, Restaurants &amp; Leisure &#8212; 2.9%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Enterprise Inns Plc:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.50%, 12/06/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GBP 2,232</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,753,637</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.88%, 2/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,070</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,536,975</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MGM Resorts International, 10.38%, 5/15/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 1,135</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,245,662</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Punch Taverns Finance B, Ltd., Series A7,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.77%, 6/30/33</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GBP 1,313</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,695,086</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Spirit Issuer Plc (b):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.05%, 12/28/28</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,325</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,886,181</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.47%, 12/28/34</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,624,735</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tropicana Entertainment LLC, Series WI,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.63%, 12/15/14 (c)(i)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 375</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>37</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>17,742,313</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Household Durables &#8212; 1.0%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Beazer Homes USA, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12.00%, 10/15/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,800</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,857,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.13%, 6/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>100</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>69,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Berkline/Benchcraft, LLC, 4.50%, 11/03/12 (c)(i)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>200</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Standard Pacific Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.38%, 5/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>490</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>429,975</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.38%, 1/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,720</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,479,200</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=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,835,550</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>IT Services &#8212; 0.8%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Eagle Parent Canada, Inc., 8.63%, 5/01/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,650</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,518,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>First Data Corp. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.38%, 6/15/19</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,010</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,889,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12.63%, 1/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,413</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,335,285</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,742,685</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Independent Power Producers &amp; Energy Traders &#8212; 2.1%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The AES Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.75%, 10/15/15 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,440</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,562,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.75%, 4/15/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>710</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>784,550</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.38%, 7/01/21 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>580</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>585,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Calpine Corp., 7.50%, 2/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,020</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,030,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Energy Future Holdings Corp., 10.00%, 1/15/20 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,870</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,884,981</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Energy Future Intermediate Holding Co. LLC,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10.00%, 12/01/20</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,720</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,744,129</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>NRG Energy, Inc., 7.63%, 1/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>965</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>955,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,547,010</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>34 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_36"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Limited Duration Income Trust (BLW)</FONT><BR>Schedule of Investments (continued) <BR></FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="65%"></TD>

   <TD width="15%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Corporate Bonds</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Industrial Conglomerates &#8212; 1.5%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sequa Corp. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>11.75%, 12/01/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 2,950</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 3,068,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>13.50%, 12/01/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,870</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,222,199</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,290,199</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Insurance &#8212; 1.2%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Allied World Assurance Co. Holdings, Ltd.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.50%, 8/01/16 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,459,786</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CNO Financial Group, Inc., 9.00%, 1/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,353</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,447,120</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Genworth Financial, Inc., 7.63%, 9/24/21 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>990</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>878,654</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>595</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>571,200</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=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,356,760</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Machinery &#8212; 0.3%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>AGY Holding Corp., 11.00%, 11/15/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,314,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Navistar International Corp., 8.25%, 11/01/21 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>414,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,728,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Media &#8212; 5.7%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>AMC Networks, Inc., 7.75%, 7/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>525</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>543,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CCH II LLC, 13.50%, 11/30/16 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,106</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,742,474</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CCO Holdings LLC (d):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.25%, 10/30/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>720</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>742,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.88%, 4/30/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,525</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,586,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CMP Susquehanna Corp., 3.52%, 5/15/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>194</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>184,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10.50%, 1/15/15 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,480</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,139,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Checkout Holding Corp., 10.97%, 11/15/15 (a)(g)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,570</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>926,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.25%, 12/15/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>933</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>988,980</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series B, 9.25%, 12/15/17 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,272</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,641,040</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DIRECTV Holdings LLC, 3.13%, 2/15/16 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,090,705</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DISH DBS Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 10/01/13 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,450</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,520,687</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.13%, 2/01/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>200</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>204,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.75%, 6/01/21 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>660</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>664,950</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Intelsat Luxemburg S.A.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>11.25%, 2/04/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>300</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>291,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>11.50%, 2/04/17 (f)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>180</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>174,825</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interactive Data Corp., 10.25%, 8/01/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,460</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,607,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Kabel BW Erste Beteiligungs GmbH, 7.50%, 3/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,440</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,418,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.25%, 12/15/17 (a)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,445</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,459,450</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Nielsen Finance LLC, 7.75%, 10/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,400</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,445,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ProtoStar I Ltd., 18.00%, 10/15/12 (a)(c)(h)(i)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,454</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,727</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unitymedia Hessen GmbH &amp; Co. KG (FKA UPC</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Germany GmbH), 8.13%, 12/01/17 (a)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,090</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,171,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Virgin Media Secured Finance Plc, 6.50%, 1/15/18 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,065,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>34,610,213</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Metals &amp; Mining &#8212; 2.1%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FMG Resources August 2006 Property Ltd.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 11/01/15 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,895</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,887,763</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Freeport-McMoRan Copper &amp; Gold, Inc.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.38%, 4/01/17 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,236,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>JMC Steel Group, 8.25%, 3/15/18 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>470</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>459,425</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New World Resources NV, 7.88%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR 995</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,364,999</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Novelis, Inc., 8.75%, 12/15/20 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 4,125</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,341,563</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Vulcan Materials Co., 7.50%, 6/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>535</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>526,928</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,816,928</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Multiline Retail &#8212; 0.4%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Dollar General Corp., 11.88%, 7/15/17 (d)(f)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,458</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,722,235</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Oil, Gas &amp; Consumable Fuels &#8212; 6.1%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Alpha Natural Resources, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.00%, 6/01/19</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>385</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>376,338</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.25%, 6/01/21</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>650</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>636,187</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Anadarko Petroleum Corp., 5.95%, 9/15/16 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,372,267</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="63%"></TD>

   <TD width="17%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Corporate Bonds</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Oil, Gas &amp; Consumable Fuels (concluded)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Arch Coal, Inc. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 6/15/19</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 305</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 300,425</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.25%, 6/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>990</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>975,150</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BP Capital Markets Plc, 5.25%, 11/07/13 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,490,986</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Berry Petroleum Co., 8.25%, 11/01/16 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>550</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>567,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Coffeyville Resources LLC, 9.00%, 4/01/15 (a)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>634</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>672,040</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Consol Energy, Inc., 8.25%, 4/01/20 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,150</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,311,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Crosstex Energy LP, 8.88%, 2/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>135</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>139,725</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Denbury Resources, Inc. (d):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.25%, 2/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>971</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,023,191</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.38%, 8/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>810</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>793,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>El Paso Corp., 7.00%, 6/15/17 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,265</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,517,131</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Forest Oil Corp., 8.50%, 2/15/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>255</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>272,850</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Linn Energy LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.63%, 4/15/20</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,070,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.75%, 2/01/21 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,470</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,499,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Niska Gas Storage US LLC, 8.88%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>950</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>959,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>OGX Petroleo e Gas Participacoes SA,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.50%, 6/01/18 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,340</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,350,850</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Oasis Petroleum, Inc., 7.25%, 2/01/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>475</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>465,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Petrohawk Energy Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10.50%, 8/01/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>840</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>949,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.88%, 6/01/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,130</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,220,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.25%, 8/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>740</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>863,025</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.25%, 6/01/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,511,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Plains Exploration &amp; Production Co., 7.75%, 6/15/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>750</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>772,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Range Resources Corp., 5.75%, 6/01/21 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,735</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,743,675</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>SandRidge Energy, Inc., 7.50%, 3/15/21 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,160</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,131,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>36,985,515</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Longview Fibre Paper &amp; Packaging, Inc.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.00%, 6/01/16 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>395</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>391,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>NewPage Corp., 11.38%, 12/31/14 (c)(d)(i)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,445</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,031,600</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=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,422,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Pharmaceuticals &#8212; 0.4%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Valeant Pharmaceuticals International,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.50%, 7/15/16 (a)(d)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,310</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,194,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Professional 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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FTI Consulting, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.75%, 10/01/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>350</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>356,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.75%, 10/01/20</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>810</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>798,862</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,154,987</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Real Estate Investment Trusts (REITs) &#8212; 0.4%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FelCor Lodging LP, 6.75%, 6/01/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,610</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,513,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ventas Realty LP/Ventas Capital Corp.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.75%, 6/01/21 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,300</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,253,695</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,767,095</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Real Estate Management &amp; Development &#8212; 1.7%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Realogy Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>11.50%, 4/15/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,850</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,470,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12.00%, 4/15/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>225</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>180,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.88%, 2/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,140</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,606,200</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Shea Homes LP, 8.63%, 5/15/19 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>855</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>722,475</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The Unique Pub Finance Co. Plc:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series A3, 6.54%, 3/30/21</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GBP 1,700</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,083,506</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series A4, 5.66%, 6/30/27</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>509</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>526,741</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series M, 7.40%, 3/28/24</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,750</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,901,649</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10,491,321</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Road &amp; Rail &#8212; 1.4%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Asciano Finance Ltd., 3.13%, 9/23/15 (a)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 3,400</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,461,169</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Avis Budget Car Rental LLC, 8.25%, 1/15/19</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>375</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>362,813</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Florida East Coast Railway Corp., 8.13%, 2/01/17 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>530</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>527,350</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The Hertz Corp. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.50%, 10/15/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>635</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>622,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.75%, 4/15/19</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,030</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>960,475</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.38%, 1/15/21</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,585</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,468,675</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,402,782</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 35</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_37"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Limited Duration Income Trust (BLW)</FONT><BR>Schedule of Investments (continued) <BR></FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="64%"></TD>

   <TD width="16%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Corporate Bonds</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Semiconductors &amp; Semiconductor Equipment &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>National Semiconductor Corp., 6.15%, 6/15/12 (d)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 3,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 3,096,435</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Specialty Retail &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Best Buy Co., Inc., 3.75%, 3/15/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,024,480</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Tobacco &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Reynolds American, Inc., 7.63%, 6/01/16 (d)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,012,545</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Aguila 3 SA, 7.88%, 1/31/18 (a)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>498</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>468,120</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Wireless Telecommunication 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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cricket Communications, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10.00%, 7/15/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>110</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>113,712</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.75%, 5/15/16 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,250</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,278,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Crown Castle Towers LLC, 4.52%, 1/15/35 (a)(d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,175,098</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Digicel Group Ltd. (a):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.88%, 1/15/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>720</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>720,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.13%, 1/15/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,267</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,267,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.25%, 9/01/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,335</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,335,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sprint Capital Corp., 8.38%, 3/15/12 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>925</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>952,750</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=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10,841,685</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Corporate Bonds &#8212; 56.8%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>346,564,405</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Aerospace &amp; Defense &#8212; 0.2%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>TransDigm, Inc., Term Loan (First Lien), 4.00%, 2/14/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,493</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,432,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Airlines &#8212; 0.2%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delta Air Lines, Inc., Credit New Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.50%, 4/20/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,290,338</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Auto Components &#8212; 1.1%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Allison Transmission, Inc., Term Loan, 2.96%, 8/07/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,707</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,413,100</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Autoparts Holdings, Ltd.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>First Lien Term Loan, 6.50%, 7/28/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>980,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Second Lien Term Loan, 10.50%, 1/29/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,477,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,870,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Automobiles &#8212; 0.2%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ford Motor Co.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche B-1 Term Loan, 2.96%, 12/16/13</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>907</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>890,647</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche B-2 Term Loan, 2.96%, 12/16/13</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>189</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>185,369</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=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,076,016</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Beverages &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Le-Nature's, Inc., Tranche B Term Loan, 3/01/11 (i)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>310,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Building Products &#8212; 1.5%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CPG International I, Inc., Term Loan B, 6.00%, 2/18/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>995</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>930,325</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Goodman Global, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Initial Term Loan (First Lien), 5.75%, 10/28/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,548</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,470,170</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan (Second Lien), 9.00%, 10/30/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,800</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,809,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Momentive Performance Materials (Blitz 06-103 GmbH),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche B-2B Term Loan, 4.79%, 5/05/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR 1,524</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,963,497</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>United Subcontractors, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.25%, 6/30/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 143</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>121,834</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,294,826</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Capital Markets &#8212; 0.6%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>HarbourVest Partners, Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.25%, 12/14/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,492</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,416,781</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Marsico Parent Co., LLC, Term Loan, 5.25%, 12/14/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>369</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>206,424</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Nuveen Investments, Inc. (First Lien):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.25%, 11/13/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>198</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>182,685</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.75% &#8211; 5.81%, 5/12/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,137</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,061,939</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,867,829</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="65%"></TD>

   <TD width="16%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Floating Rate Loan Interests (b)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Chemicals &#8212; 2.3%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ashland, Inc., Term Loan B, 3.75%, 7/30/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 1,466,520</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,271,829</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gentek, Inc., Term Loan B, 5.00% &#8211; 5.75%, 10/06/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,102</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,028,074</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MDI Holdings, LLC (FKA MacDermid, Inc.), Tranche C</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 3.54%, 4/11/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR 462</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>631,526</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Nexeo Solutions, LLC, Term Loan B, 5.00%, 9/08/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 1,297</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,194,086</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>PQ Corp. (FKA Niagara Acquisition, Inc.), Original</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan (First Lien), 3.48% &#8211; 3.51%, 7/30/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,423</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,300,823</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Styron Sarl, Term Loan B, 6.00%, 8/02/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,287</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,101,185</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tronox Worldwide LLC, Exit Term Loan, 7.00%, 10/15/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,637</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,607,087</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Univar, Inc., Term Loan B, 5.00%, 6/30/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,786</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,570,781</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>14,171,911</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Commercial Services &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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>AWAS Finance Luxembourg Sarl, Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.25%, 6/10/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,172</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,128,168</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Adesa, Inc. (KAR Holdings, 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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.00%, 5/19/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,425,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Altegrity, Inc. (FKA US Investigations Services, Inc.),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche D Term Loan, 7.75%, 2/20/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,718</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,618,116</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delos Aircraft, Inc., Term Loan B2, 7.00%, 3/17/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,454</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,444,149</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Synagro Technologies, Inc., Term Loan (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.21% &#8211; 2.23%, 4/02/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,147</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>995,579</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Volume Services America, Inc. (Centerplate),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 10.50% &#8211; 10.75%, 9/16/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,581</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,468,687</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>11,079,699</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Avaya, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 3.06%, 10/24/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,866</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,659,820</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-3, 4.81%, 10/26/17</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,692</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,319,059</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CommScope, Inc., Term Loan B, 5.00%, 1/14/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,247</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,197,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,175,879</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Construction &amp; Engineering &#8212; 0.6%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Safway Services, LLC, First Out Tranche Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.00%, 12/16/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,750</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,750,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Consumer Finance &#8212; 0.4%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Springleaf Financial Funding Co. (FKA AGFS Funding Co.),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 5.50%, 5/10/17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,315,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Containers &amp; Packaging &#8212; 0.3%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Graham Packaging Co., LP, Term Loan D,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.00%, 9/23/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,489</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,473,862</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Coinmach Service Corp., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.22% &#8211; 3.30%, 11/20/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,595</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,997,857</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Laureate Education, Extended Term Loan, 5.25%, 8/15/18 4,599</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,061,660</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ServiceMaster Co.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Closing Date Term Loan, 2.69% &#8211; 2.76%, 7/24/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,512</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,320,428</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delayed Draw Term Loan, 2.72%, 7/24/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>250</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>231,080</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10,611,025</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Telecommunication Services &#8212; 1.0%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Hawaiian Telcom Communications, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.00%, 11/01/15 (f)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,167</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,164,123</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 3 Financing, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Incremental Tranche A Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.49% &#8211; 2.50%, 3/13/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,150</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,062,600</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B2, 4.51%, 9/03/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,827,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,054,223</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Electric Utilities &#8212; 0.1%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>TPF Generation Holdings LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Synthetic Letter of Credit Deposit (First Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.25%, 12/13/13</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>151</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>141,059</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Synthetic Revolving Deposit, 2.25%, 12/15/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>47</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>44,219</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan (First Lien), 2.25%, 12/13/13</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>269</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>252,282</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>437,560</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>36 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_38"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Limited Duration Income Trust (BLW)</FONT><BR>Schedule of Investments (continued) <BR></FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="62%"></TD>

   <TD width="8%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Electronic Equipment, Instruments &amp; Components &#8212; 1.2%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Aeroflex Inc., Term Loan B, 4.25%, 5/09/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>850</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 786,956</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CDW LLC (FKA CDW Corp.):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Extended Term Loan B, 4.25%, 7/14/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,021</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,834,182</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Non-Extended Term Loan, 3.71%, 10/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,012</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,831,204</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sensata Technologies Finance Company, LLC,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 4.00%, 5/11/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,634,125</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,086,467</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Energy Equipment &amp; Services &#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 align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CCS Corp., Tranche B Term Loan, 3.25%, 11/14/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,648</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,461,450</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Dynegy Holdings, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Coal Co. Term Loan, 9.25%, 8/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,332</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,252,315</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gas Co. Term Loan, 9.25%, 8/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,268</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,193,310</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MEG Energy Corp., Tranche D Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.00%, 3/16/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,912,500</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,819,575</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Food &amp; Staples Retailing &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>US Foodservice, Inc., Term Loan B:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.71% &#8211; 2.72%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,859</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,663,860</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.75%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,646</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,530,664</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,194,524</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Food Products &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Advance Pierre Foods, Term Loan (Second Lien):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 9/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,069</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,934,476</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>11.25%, 9/29/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,300</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,274,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Del Monte Corp., Term Loan B, 4.50%, 3/08/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,600</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,508,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Pinnacle Foods Finance LLC, Tranche D Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.00%, 4/02/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,198</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,181,407</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Solvest, Ltd. (Dole):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche B-1 Term Loan, 5.00% &#8211; 6.00%, 7/06/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>98</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>94,138</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche C-1 Term Loan, 5.00% &#8211; 6.00%, 7/06/18</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>182</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>174,828</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,166,849</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Health Care Equipment &amp; Supplies &#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 colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Biomet, Inc., Dollar Term Loan, 3.22% &#8211; 3.25%, 3/25/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>370</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>351,130</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Iasis Healthcare LLC, Term Loan, 5.00%, 5/03/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,190</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,097,180</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,448,310</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Health Care Providers &amp; Services &#8212; 3.0%</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 colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ardent Health Services, Term Loan, 6.50%, 9/15/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,240</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CHS/Community Health Systems, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delayed Draw Term Loan, 2.47% &#8211; 2.57%, 7/25/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>116</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>107,614</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Non Extended Term Loan, 2.47% &#8211; 2.57%, 7/25/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,257</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,093,326</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ConvaTec, Inc., Dollar Term Loan, 5.75%, 12/22/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,294</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,220,197</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DaVita, Inc., Tranche B Term Loan, 4.50%, 10/20/16</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,990</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,930,300</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Emergency Medical Services, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.25% &#8211; 6.00%, 5/25/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,247</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,153,359</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>HCA, Inc., Tranche B-1 Term Loan, 3.50%, 5/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>340</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>319,032</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Harden Healthcare, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche A Additional Term Loan, 7.75%, 3/02/15</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,650</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,577,090</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche A Term Loan, 8.50%, 3/02/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>606</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>593,472</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>inVentiv Health, Inc. (FKA Ventive Health, Inc.):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Incremental Term Loan B3, 6.75%, 5/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>940,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 6.50%, 8/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,216</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,090,074</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Medpace, Inc., Term Loan, 6.50%, 6/22/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,850</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,707,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Renal Advantage Holdings, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.75%, 12/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,393</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,363,984</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>18,097,188</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Health Care Technology &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>IMS Health, Inc., Tranche B Dollar Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.50%, 8/25/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,840</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,764,682</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MedAssets, Inc., Term Loan B, 5.25%, 11/16/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>821</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>777,491</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,542,173</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="65%"></TD>

   <TD width="5%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Hotels, Restaurants &amp; Leisure &#8212; 3.4%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Caesars Entertainment Operating Co., Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Incremental Term Loan B4, 9.50%, 10/31/16</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>958</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 955,647</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-1, 3.25%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>449</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>386,284</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-2, 3.22% &#8211; 3.25%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>750</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>646,170</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-3, 3.25%, 1/28/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,455</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,557,318</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Dunkin' Brands, Inc., New Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.00%, 11/23/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,088</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,005,613</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Golden Living, Term Loan, 5.00%, 5/04/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,405</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,246,937</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>OSI Restaurant Partners, LLC, Pre-Funded RC Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.50%, 6/14/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>32</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>29,566</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>SeaWorld Parks &amp; Entertainment, Inc. (FKA SW</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Acquisitions Co., Inc.), Term Loan B, 4.00%, 8/17/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,681</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,622,369</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Six Flags Theme Parks, Inc., Tranche B Term Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(First Lien), 5.25%, 6/30/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,468</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,405,971</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Travelport LLC (FKA Travelport, Inc.), Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.29%, 3/27/12 (f)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,123</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,720,952</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Twin River Worldwide Holdings, Inc., Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.50%, 11/05/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,369</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,358,239</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>VML US Finance LLC (FKA Venetian Macau):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term B Delayed Draw Project Loan, 4.73%, 5/25/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,116</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,104,612</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term B Funded Project Loan, 4.73%, 5/27/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,933</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,908,738</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>20,948,416</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Berkline/Benchcraft LLC, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>14.00%, 11/03/11 (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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>139</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,972</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>IT Services &#8212; 1.7%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ceridian Corp., US Term Loan, 3.22%, 11/10/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,620</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,384,919</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>First Data Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Extended Term Loan B, 4.22%, 3/23/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,689</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,925,754</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Initial Tranche B-1 Term Loan, 2.97%, 9/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>325</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>285,462</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Initial Tranche B-3 Term Loan, 2.97%, 9/24/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>109</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>95,389</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>infoGROUP, Inc., Term Loan, 5.75%, 5/22/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,064</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>975,851</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>TransUnion LLC, Replacement Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.75%, 2/12/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,264</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,095,501</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Travelex American Holdings, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche B5, 2.93%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>439</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>420,907</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche C5, 3.43%, 10/31/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>436</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>419,487</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10,603,270</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Independent Power Producers &amp; Energy Traders &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The AES Corp., Term Loan B, 4.25%, 6/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,496</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,437,148</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Calpine Corp., Term Loan B, 4.50%, 4/02/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>869</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>801,344</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Texas Competitive Electric Holdings Co., LLC (TXU),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Extended Term Loan, 4.71% &#8211; 4.77%, 10/10/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,843</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,086,732</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,325,224</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Industrial Conglomerates &#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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sequa Corp., Term Loan, 3.50% &#8211; 3.51%, 12/03/14</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,824</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,704,223</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Terex Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 6.03%, 4/28/17</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>310</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>431,956</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 5.50%, 4/28/17</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>980,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tomkins Plc, Term Loan B, 4.25%, 9/29/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,186</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,103,910</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,515,866</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Media &#8212; 6.8%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>AMC Networks, Inc., Term Loan B, 4.00%, 12/31/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,200</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,120,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Acosta, Inc., Term Loan, 4.75%, 3/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,346</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,269,689</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Affinion Group, Inc., Tranche B Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.00%, 7/16/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,481</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,334,070</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Capsugel Healthcare Ltd., Term Loan, 5.25%, 8/01/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,400</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,352,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cengage Learning Acquisitions, Inc. (Thomson Learning):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 2.50%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,530</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,264,544</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tranche 1 Incremental Term Loan, 7.50%, 7/03/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,047</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,954,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Charter Communications Operating, LLC:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B, 7.25%, 3/06/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>64</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>63,705</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan C, 3.50%, 9/06/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,059</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,912,493</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Clear Channel Communications, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.87%, 1/28/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,385</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,785,029</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 37</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_39"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Limited Duration Income Trust (BLW)</FONT><BR>Schedule of Investments (continued) <BR></FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="65%"></TD>

   <TD width="5%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cumulus Media, Inc., Term Loan, 5.75%, 8/30/18</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 1,404,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>HMH Publishing Co., Ltd., Tranche A Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.21%, 6/12/14</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,214</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,583,028</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Hubbard Broadcasting, Term Loan B (Second Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.25%, 4/28/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>900</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>856,503</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Intelsat Jackson Holdings SA (FKA Intelsat Jackson</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Holdings, Ltd.), Tranche B Term Loan, 5.25%, 4/02/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,486</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,253,084</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interactive Data Corp., New Term Loan B, 4.50%, 2/12/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,394</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,263,838</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Lavena Holding 3 GmbH (Prosiebensat.1 Media AG):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Facility B1, 4.20%, 3/06/15</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>304</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>338,575</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Facility C1, 4.45%, 3/04/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>304</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>340,757</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Lavena Holding 4 GmbH, Second 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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.05%, 9/02/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>904</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>821,966</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Mediacom Illinois, LLC (FKA Mediacom</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Communications, LLC), Tranche D Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.50%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>983</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>938,288</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Newsday LLC, Fixed Rate Term Loan, 10.50%, 8/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,505</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,651,413</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sunshine Acquisition Ltd. (FKA HIT Entertainment),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Facility, 5.51%, 6/01/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,976</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,900,160</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=3><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>UPC Broadband Holding B.V., Term U, 5.44%, 12/31/17 EUR 1,493</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,005,484</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Univision Communications, Inc., Extended First Lien</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan, 4.47%, 3/31/17</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2,290</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,969,219</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>WC Luxco Sarl, New Term Loan B3, 4.25%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>627</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>601,531</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Weather Channel, Term Loan B, 4.25%, 2/13/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,496</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,441,383</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>41,426,434</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Novelis, Inc., Term Loan, 3.75%, 3/10/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,333</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,148,721</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Walter Energy, Inc., Term Loan B, 4.00%, 4/02/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,544</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,429,162</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,577,883</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FirstLight Power Resources, Inc. (FKA NE Energy, Inc.),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term B Advance (First Lien), 2.75%, 11/01/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>375</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>355,201</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Mach Gen, LLC, Synthetic Letter of Credit Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(First Lien), 2.28%, 2/22/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>69</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>62,431</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>417,632</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Hema Holding BV:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Facility B, 3.43%, 7/06/15</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>338</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>452,062</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Facility C, 4.18%, 7/05/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>338</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>454,493</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Facility D, 6.43%, 1/05/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,600</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,386,324</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,292,879</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Oil, Gas &amp; Consumable Fuels &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gibson Energy, Term Loan B, 5.75%, 6/14/18</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1,500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,417,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Obsidian Natural Gas Trust, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.00%, 11/02/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,717</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,670,097</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,087,597</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Paper &amp; Forest Products &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Georgia-Pacific LLC, Term Loan B, 2.32%, 12/21/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,476</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,465,474</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Verso Paper Finance Holdings LLC, Term Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.51% &#8211; 7.26%, 2/01/13 (f)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>686</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>590,239</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,055,713</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Pharmaceuticals &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,493</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,346,235</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Warner Chilcott Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-1, 4.25%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>912</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>873,815</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-2, 4.25%, 3/15/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>456</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>437,477</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,657,527</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Professional Services &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fifth Third Processing Solutions, LLC, Term Loan B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(First Lien), 4.50%, 11/03/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,990</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,916,641</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Real Estate Investment Trusts (REITs) &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>iStar Financial, Inc., Term Loan (Second Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.00%, 6/28/13</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,826</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,689,054</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="64%"></TD>

   <TD width="6%"></TD>

   <TD width="10%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Real Estate Management &amp; Development &#8212; 1.2%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Pivotal Promontory, LLC, Term Loan (Second Lien),</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>11.50%, 8/31/11 (c)(i)</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>750</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 1</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Realogy Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delayed Draw Term Loan, 3.30%, 10/10/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,795</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,349,002</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Extended Term Loan B, 4.52%, 10/10/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,729</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,892,263</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,241,266</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Semiconductors &amp; Semiconductor Equipment &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Freescale Semiconductor, Inc., Extended Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.44%, 12/01/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,056</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>960,291</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Software &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bankruptcy Management Solutions, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.50%, 8/20/14</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>719</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>326,117</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Specialty Retail &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Academy Ltd., Term Loan, 6.00%, 8/03/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,800</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,708,650</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Burlington Coat Factory Warehouse Corp., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.25%, 2/23/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>593</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>558,431</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>General Nutrition Centers, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.25%, 3/02/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,175</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,052,656</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Michaels Stores, Inc.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-1, 2.50%, 10/31/13</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,870</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,766,818</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Term Loan B-2, 4.75%, 7/31/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,098</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,033,105</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Petco Animal Supplies, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.50%, 11/24/17</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,228</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,093,850</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Toys &#8216;R&#8217; Us Delaware, Inc., Initial Loan, 6.00%, 9/01/16</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,888</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,768,958</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10,982,468</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Trading Companies &amp; Distributors &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Beacon Sales Acquisition, Inc., Term Loan B,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.21% &#8211; 2.25%, 9/30/13</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>121</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>115,163</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Wireless Telecommunication Services &#8212; 1.7%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Digicel International Finance Ltd., US Term Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(Non-Rollover), 2.75%, 3/30/12</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>337</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>332,112</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MetroPCS Wireless, Inc., Term Loan B, 4.00%, 3/16/18</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,493</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,398,299</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Vodafone Americas Finance 2, Inc., Initial Loan,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.88%, 8/11/15</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,295</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,336,503</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10,066,914</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Floating Rate Loan Interests &#8212; 44.2%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>269,484,829</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Non-Agency Mortgage-Backed 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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Collateralized Mortgage Obligations &#8212; 5.7%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Adjustable Rate Mortgage Trust, Series 2007-1,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Class 3A21, 5.73%, 3/25/37 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,733</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,403,613</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citicorp Mortgage Securities, Inc., Series 2006-2,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Class 1A7, 5.75%, 4/25/36</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,048</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,038,288</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Countrywide Alternative Loan Trust, Series 2005-54CB,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Class 3A4, 5.50%, 11/25/35</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,437</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,929,005</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Countrywide Home Loan Mortgage 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 style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2005-17, Class 1A6, 5.50%, 9/25/35</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,975</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,799,088</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2006-17, Class A2, 6.00%, 12/25/36</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,085</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,476,610</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2007-16, Class A1, 6.50%, 10/25/37</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,812</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,480,040</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2007-HY5, Class 3A1, 5.92%, 9/25/37 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,378</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,689,244</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit Suisse Mortgage Capital Certificates,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2006-C5, Class AM, 5.34%, 12/15/39</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,440</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,266,420</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GSR Mortgage Loan Trust, Series 2005-AR5,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Class 2A3, 2.74%, 10/25/35 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,700</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,996,206</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Harborview Mortgage Loan Trust, Series 2005-8,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Class 1A2A, 0.54%, 9/19/35 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,988</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,469,939</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Morgan Stanley Reremic Trust, Series 2010-R4,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Class 4A, 0.45%, 2/26/37 (a)(b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,947</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,829,283</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>WaMu Mortgage Pass-Through Certificates,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2006-AR14, Class 1A1, 5.32%, 11/25/36 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,174</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>948,110</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Wells Fargo Mortgage-Backed Securities Trust,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2005-AR2, Class 2A1, 2.74%, 3/25/35 (b)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,387</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,118,487</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>34,444,333</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>38 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_40"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Limited Duration Income Trust (BLW)</FONT><BR>Schedule of Investments (continued) <BR></FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="65%"></TD>

   <TD width="19%"></TD>

   <TD width="14%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Non-Agency Mortgage-Backed Securities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Commercial Mortgage-Backed Securities &#8212; 8.8%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Banc of America Commercial Mortgage, Inc. (b):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2007-3, Class A2, 5.80%, 6/10/49</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD&nbsp; 2,001</FONT></TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2 $<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>,036,641</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2007-4, Class A4, 5.92%, 2/10/51</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,150</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,298,948</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Centre Parcs Mortgage Finance Plc, Series 2007-1,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Class A2, 2.87%, 10/10/18 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GBP 1,953</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,043,493</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citigroup/Deutsche Bank Commercial Mortgage Trust,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2007-CD4, Class A2B, 5.21%, 12/11/49</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 1,335</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,348,410</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit Suisse Mortgage Capital Certificates (b):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2007-C2, Class A2, 5.45%, 1/15/49</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,820</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,827,094</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2007-C3, Class A2, 5.90%, 6/15/39</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,590</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,641,070</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Extended Stay America Trust, Series 2010-ESHA,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Class C, 4.86%, 11/05/27 (a)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,320</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,236,127</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>First Union Commercial Mortgage Securities, Inc.,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 1997-C2, Class G, 7.50%, 11/18/29 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,310</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,652,002</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GS Mortgage Securities Corp. II, Series 2006-GG6,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Class AM, 5.62%, 4/10/38 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,680</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,424,902</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Greenwich Capital Commercial Funding Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2006-GG7, Class AM, 6.07%, 7/10/38 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,610</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,518,443</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2007-GG9, Class A4, 5.44%, 3/10/39</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,110</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,229,247</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>JP Morgan Chase Commercial Mortgage Securities Corp.:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2007-CB18, Class A4, 5.44%, 6/12/47</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,110</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,247,099</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2007-CB19, Class A4, 5.93%, 2/12/49 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,140</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,289,815</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>LB-UBS Commercial Mortgage Trust, Series 2007-C6,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Class A4, 5.86%, 7/15/40 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,395</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,614,239</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Morgan Stanley Capital I, Series 2007-IQ15, Class A2,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.03%, 6/11/49 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,007</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,053,155</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Wachovia Bank Commercial Mortgage Trust (b):</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2007-C33, Class A2, 6.05%, 2/15/51</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>14,095</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>14,269,239</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2007-C33, Class A4, 6.10%, 2/15/51</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,030</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,154,417</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>53,884,341</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Non-Agency Mortgage-Backed Securities &#8212; 14.5%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>88,328,674</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Beneficial</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interest</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Other Interests (j)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Auto Components &#8212; 0.0%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Lear Corp. Escrow</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>20,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BLW JGW SPV, LLC (J.G. Wentworth LLC Preferred</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Equity Interests) (c)(k)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,420,709</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Critical Care Systems International, Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>763</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Household Durables &#8212; 0.0%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Berkline Benchcraft Equity LLC</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Software &#8212; 1.3%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Delphi Debtor-in-Possession Holding Co. LLP, Class B</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Membership Interests</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;(l)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,570,181</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Other Interests &#8212; 1.5%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,011,653</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Preferred Stocks</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Shares</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Auto Components &#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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Dana Holding Corp. (a)(c)(h)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>675,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Media &#8212; 0.0%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>CMP Susquehanna Radio Holdings Corp. (a)(c)(m)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>45,243</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>384,565</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Preferred Stocks &#8212; 0.1%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,060,315</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="61%"></TD>

   <TD width="20%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Trust Preferreds</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Shares</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Diversified Financial Services &#8212; 0.4%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GMAC Capital Trust I, Series 2, 8.13%, 2/15/40</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>109,140</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 2,299,797</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Trust Preferreds &#8212; 0.4%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,299,797</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Preferred Securities &#8212; 0.5%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,360,112</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Taxable Municipal Bonds</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>State of California, GO:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.25%, 4/01/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 1,075</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,175,039</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.10%, 8/01/14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,225</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,357,054</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Various Purpose 3, Mandatory Put Bonds,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.65%, 4/01/39 (b)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>455</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>483,028</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>State of Illinois, GO, 3.32%, 1/01/13</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,075</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,175,485</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Taxable Municipal Bonds &#8212; 1.5%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,190,606</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>US Government Sponsored</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Interest Only Collateralized Mortgage Obligations &#8212; 0.4%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fannie Mae Mortgage-Backed Securities,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 2010-126, Class UI, 5.50%, 10/25/40</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>14,525</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,311,649</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Mortgage-Backed Securities &#8212; 14.6%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fannie Mae Mortgage-Backed Securities:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.50%, 8/01/26 &#8211; 9/01/26 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>27,929</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>29,195,026</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.50%, 9/15/41 (n)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>17,300</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>18,277,855</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.00%, 7/01/20 &#8211; 8/01/23 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>17,628</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>19,111,749</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Freddie Mac Mortgage-Backed Securities,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.50%, 4/01/25 (d)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>20,623</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>22,281,585</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>88,866,215</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total US 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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Agency Securities &#8212; 15.0%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>91,177,864</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>US Treasury Obligations</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>US Treasury Notes:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.38%, 7/31/13</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>145</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>145,504</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.50%, 7/31/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,505</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,546,854</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total US Treasury Obligations &#8212; 0.3%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,692,358</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Warrants (o)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Shares</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Media &#8212; 0.0%</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cumulus Media, Inc. (Expires 3/26/19)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>114,267</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>292,010</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Software &#8212; 0.0%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bankruptcy Management Solutions, Inc.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(Expires 9/29/17)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>435</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>HMH Holdings/EduMedia (Expires 3/09/17)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>209,988</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Warrants &#8212; 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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>292,017</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Long-Term Investments</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(Cost &#8212; $889,928,196*) &#8212; 141.5%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>863,148,275</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Short-Term 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></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock Liquidity Funds, TempFund, Institutional</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Class, 0.07% (p)(q)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,229,778</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,229,778</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Short-Term Securities</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(Cost &#8212; $5,229,778) &#8212; 0.9%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,229,778</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 39</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_41"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Limited Duration Income Trust (BLW)</FONT><BR>Schedule of Investments (continued) <BR></FONT><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(Percentages shown are based on Net Assets)</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="62%"></TD>

   <TD align=middle width="18%"></TD>

   <TD align=middle width="19%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Options Purchased</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Marsico Parent Superholdco LLC,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Strike Price USD 942.86, Expires 12/21/19,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Broker Goldman Sachs Bank USA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>46</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Notional</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Amount</FONT>&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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Over-the-Counter Put Swaptions &#8212; 0.1%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bought credit default protection on Dow Jones CDX</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>North America High Yield 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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 99.00, 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: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Broker BNP Paribas SA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 7,400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 358,847</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(Cost &#8212; $144,878) &#8212; 0.1%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>358,847</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Investments Before TBA Sale Commitments and</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 colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Outstanding Options Written (Cost &#8212; $895,302,852) &#8212; 142.5%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>868,736,900</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>TBA Sale Commitments</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fannie Mae Mortgage-Backed Securities,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.50%, 9/15/41 (n)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>17,300</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(18,277,855)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total TBA Sale Commitments</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(Proceeds &#8212; $18,154,863) &#8212; (3.0)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(18,277,855)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Notional</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Amount</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Options Written</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bought credit default protection on Dow Jones CDX</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>North America High Yield 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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 102.50, 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: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Broker BNP Paribas SA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(2,193)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Over-the-Counter Put Swaptions &#8212; (0.1)%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sold credit default protection on Dow Jones CDX</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>North America High Yield 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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 102.50, 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: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Broker BNP Paribas SA</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,400</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(598,459)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sold credit default protection on Dow Jones CDX</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>North America Investment Grade Series 16,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Strike Price USD 120.00, Expires 12/21/11,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Broker Morgan Stanley Capital Services, Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(68,956)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(667,415)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(Premiums Received &#8212; $306,050) &#8212; (0.1)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(669,608)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total Investments, Net of TBA Sale Commitments and</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Outstanding Options Written &#8212; 139.4%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>849,789,437</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Liabilities in Excess of Other Assets &#8212; (39.4)%</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(239,971,776)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net Assets &#8212; 100.0%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$609,817,661</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>* The cost and unrealized appreciation (depreciation) of investments as of August 31,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2011, as computed for federal income tax purposes, were as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="57%"></TD>

   <TD width="42%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Aggregate cost</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 892,838,022</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gross unrealized appreciation</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 19,561,610</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Gross unrealized depreciation</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px; BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(43,662,732)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net unrealized depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (24,101,122)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>(a) Security exempt from registration under Rule 144A of the Securities Act of 1933.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>These securities may be resold in transactions exempt from registration to qualified</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>institutional investors.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(b) Variable rate security. Rate shown is as of report date.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(c) Non-income producing security.<BR></FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(d) All or a portion of security has been pledged as collateral in connection with open</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>reverse repurchase agreements.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(e) Represents a step-down bond that pays an initial coupon rate for the first period</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>and then a lower coupon rate for the following periods. Rate shown is as of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>report date.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(f) Represents a payment-in-kind security which may pay interest/dividends in</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>additional par/shares.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(g) Represents a zero-coupon bond. Rate shown reflects the current yield as of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>report date.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(h) Convertible security.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(i) Issuer filed for bankruptcy and/or is in default of interest payments.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(j) Other interests represent beneficial interests in liquidation trusts and other</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>reorganization or private entities.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(k) The investment is held by a wholly owned subsidiary of the Fund.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(l) Amount is less than $500.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(m) Security is perpetual in nature and has no stated maturity date.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(n) Represents or includes a to-be-announced (&#8220;TBA&#8221;) transaction. Unsettled TBA</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>transactions as of report date were as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="47%"></TD>

   <TD width="29%"></TD>

   <TD width="22%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unrealized</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Counterparty</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Depreciation</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>JPMorgan Securities, Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$(119,257)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Morgan Stanley &amp; Co., Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$(121,324)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>(o) Warrants entitle the Fund to purchase a predetermined number of shares of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>common stock and are non-income producing. The purchase price and number of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>shares are subject to adjustment under certain conditions until the expiration date,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>if any.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(p) Represents the current yield as of report date.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(q) Investments in companies considered to be an affiliate of the Fund during the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>year, for purposes of Section 2(a)(3) of the Investment Company Act of 1940,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>as amended, were as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="16%"></TD>

   <TD width="15%"></TD>

   <TD width="14%"></TD>

   <TD width="16%"></TD>

   <TD width="23%"></TD>

   <TD width="13%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Shares Held at</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Shares Held at</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Affiliate</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>August 31, 2010</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Activity</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>August 31, 2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Income</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock Liquidity</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Funds, TempFund,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px; BORDER-BOTTOM: #000000 1px solid" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Institutional Class</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,229,778</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,229,778</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 9,068</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2><BR>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>For Fund compliance purposes, the Fund&#8217;s industry classifications refer to any one</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>or more of the industry sub-classifications used by one or more widely recognized</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>market indexes or rating group indexes, and/or as defined by Fund management.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>These definitions may not apply for purposes of this report, which may combine</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>such industry sub-classifications for reporting ease.</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Financial futures contracts purchased as of August 31, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="13%"></TD>

   <TD width="15%"></TD>

   <TD width="21%"></TD>

   <TD width="16%"></TD>

   <TD width="14%"></TD>

   <TD width="6%"></TD>

   <TD width="11%"></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><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Notional</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unrealized</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Contracts</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Issue</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Exchange</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Expiration&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Appreciation</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>90-Day</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>September</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Eurodollar</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>of Trade</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2011</FONT>&nbsp;</TD>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$2,987,133 </FONT></TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>1,842</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>90-Day</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>December</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Eurodollar</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>of Trade</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2011</FONT>&nbsp;</TD>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$2,984,133</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>717</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>90-Day</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>March</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Eurodollar</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>of Trade</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2012</FONT>&nbsp;</TD>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$2,978,883</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,967</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>90-Day</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>June</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Eurodollar</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>of Trade</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2012</FONT>&nbsp;</TD>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$1,980,322</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,978</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>90-Day</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>September</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Eurodollar</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>of Trade</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2012</FONT>&nbsp;</TD>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$1,973,922</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>16,478</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>90-Day</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>March</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Eurodollar</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>of Trade</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2013</FONT>&nbsp;</TD>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$1,962,722</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>26,978</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>90-Day</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>June</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Eurodollar</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>of Trade</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2013</FONT>&nbsp;</TD>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$1,467,916</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>23,234</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>90-Day</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>September</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Eurodollar</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>of Trade</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2013</FONT>&nbsp;</TD>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$1,464,242</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>25,108</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>90-Day</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>December</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Eurodollar</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>of Trade</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2013</FONT>&nbsp;</TD>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$1,460,566</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>26,159</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>90-Day</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chicago Board</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>March</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Eurodollar</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>of Trade</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2014</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$1,457,267</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>26,608</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 163,069</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>40 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_42"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Limited Duration Income Trust (BLW)<BR></FONT>Schedule of Investments (continued) <BR></FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Foreign currency exchange contracts as of August 31, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="8%"></TD>

   <TD width="14%"></TD>

   <TD width="16%"></TD>

   <TD width="24%"></TD>

   <TD width="22%"></TD>

   <TD width="16%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left width="8%">&nbsp;</TD>

   <TD align=left width="14%">&nbsp;</TD>

   <TD align=left width="16%">&nbsp;</TD>

   <TD align=left width="24%">&nbsp;</TD>

   <TD align=right width="38%" colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unrealized</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="22%" colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Currency</FONT>&nbsp;</TD>

   <TD align=middle width="16%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Currency</FONT>&nbsp;</TD>

   <TD align=left width="24%">&nbsp;</TD>

   <TD align=right width="38%" colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Settlement&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Appreciation</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left width="22%" colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Purchased</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="16%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sold</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle width="24%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Counterparty</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="38%" colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Date&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; (Depreciation)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="38%" colSpan=3><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD 33,368,257&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;GBP&nbsp;&nbsp;&nbsp;&nbsp;20,883,000</FONT>&nbsp;</TD>

   <TD align=middle width="24%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Royal Bank</FONT>&nbsp;</TD>

   <TD align=left width="22%">&nbsp;</TD>

   <TD align=left width="16%">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="8%">&nbsp;</TD>

   <TD align=left width="14%">&nbsp;</TD>

   <TD align=left width="16%">&nbsp;</TD>

   <TD align=middle width="24%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>of Scotland</FONT>&nbsp;</TD>

   <TD align=middle width="22%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/07/11 </FONT></TD>

   <TD align=right width="16%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>(517,658)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="8%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD</FONT>&nbsp;</TD>

   <TD align=left width="14%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>965,890&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT></TD>

   <TD align=right width="16%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp; GBP<FONT face="Times New Roman" color=#000000 size=3>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT>600,000</FONT>&nbsp;</TD>

   <TD align=middle width="24%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle width="22%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/07/11</FONT>&nbsp;</TD>

   <TD align=right width="16%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(7,704)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="8%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>GBP</FONT>&nbsp;</TD>

   <TD align=left width="14%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>202,000 </FONT></TD>

   <TD align=right width="16%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD<FONT face="Times New Roman" color=#000000 size=3>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT>331,495</FONT>&nbsp;</TD>

   <TD align=middle width="24%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>UBS AG</FONT>&nbsp;</TD>

   <TD align=middle width="22%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/07/11</FONT>&nbsp;</TD>

   <TD align=right width="16%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(3,718)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="38%" colSpan=3><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 17,941,693&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;EUR&nbsp;&nbsp;&nbsp; 12,517,500</FONT>&nbsp;</TD>

   <TD align=middle width="24%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle width="22%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/26/11</FONT>&nbsp;</TD>

   <TD align=right width="16%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(27,369)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="8%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD align=left width="14%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>704,700</FONT></TD>

   <TD align=right width="16%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;USD<FONT face="Times New Roman" color=#000000 size=3>&nbsp;&nbsp;&nbsp;&nbsp; </FONT>1,009,557</FONT>&nbsp;</TD>

   <TD align=middle width="24%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Citibank NA</FONT>&nbsp;</TD>

   <TD align=middle width="22%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10/26/11</FONT>&nbsp;</TD>

   <TD align=right width="16%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left width="8%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>EUR</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left width="14%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>250,000 </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="16%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USD<FONT face="Times New Roman" color=#000000 size=3>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT>360,238</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="46%" colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Deutsche Bank AG&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 10/26/11&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="16%"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1,359)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left width="8%"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD>

   <TD align=left width="14%">&nbsp;</TD>

   <TD align=left width="16%">&nbsp;</TD>

   <TD align=left width="24%">&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right width="38%" colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (555,758)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2><BR>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit default swaps on single-name issues &#8212; sold protection outstanding as of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>August 31, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="19%"></TD>

   <TD width="19%"></TD>

   <TD width="15%"></TD>

   <TD width="13%"></TD>

   <TD width="14%"></TD>

   <TD width="17%"></TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Receive</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Issuer</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Notional</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fixed</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Expiration</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Amount</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unrealized</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Issuer Rate</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Counterparty</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Date</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Rating</FONT><SUP><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT><SUP><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Depreciation</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Aviva</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Deutsche</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>USA Corp. 1.00%&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Bank AG</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5/25/12</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BBB+</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 4,700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (3,846)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The maximum potential amount the Fund may pay should a negative credit</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>event take place as defined under the terms of agreement.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit default swaps on traded indexes &#8212; buy protection outstanding as of August 31,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="18%"></TD>

   <TD width="10%"></TD>

   <TD width="21%"></TD>

   <TD width="14%"></TD>

   <TD width="16%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Pay</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Notional</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fixed</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Expiration</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Amount</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unrealized</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Index</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Rate</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Counterparty</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Date</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Appreciation</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Dow Jones CDX</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>North America</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Investment</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Grade Index</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Morgan Stanley</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Series 16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.00%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&amp; Co., Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6/20/16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 7,700</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 83,827</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Reverse repurchase agreements outstanding as of August 31, 2011 were as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="20%"></TD>

   <TD width="13%"></TD>

   <TD width="14%"></TD>

   <TD width="13%"></TD>

   <TD width="24%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interest&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Trade</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Maturity</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net Closing</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Face</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Counterparty</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Rate</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Date</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Date</FONT><SUP><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1</FONT></SUP>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Amount</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Amount</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4/11/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $ 390,930 </FONT></TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>390,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bank AG</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4/11/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,696,503</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,690,625</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4/14/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>899,823</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>898,425</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bank AG</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4/15/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,222,042</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,202,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bank AG</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4/15/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,281,929</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,277,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4/18/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,692,813</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,688,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4/28/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,207,777</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,205,456</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bank AG</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4/28/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,630,099</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,623,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Capital, Inc.</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5/2/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,075,413</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,071,250</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Reverse repurchase agreements outstanding as of August 31, 2011 were as follows</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(continued):</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="20%"></TD>

   <TD width="13%"></TD>

   <TD width="15%"></TD>

   <TD width="15%"></TD>

   <TD width="19%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=right colSpan=4><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interest&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&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;&nbsp;&nbsp;&nbsp;&nbsp; </TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Face</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Counterparty</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Rate</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Date</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;&nbsp;&nbsp; Date</FONT><SUP><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1</FONT></SUP>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;&nbsp;&nbsp; Amount</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Amount</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5/2/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open </FONT></TD>

   <TD style="TEXT-INDENT: 1px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>6,602,405 </FONT></TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>6,590,122</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Capital, Inc.</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5/3/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,183,274</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,179,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>UBS AG</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5/3/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,784,932</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,781,660</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.45%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5/3/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,384,333</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,377,712</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Capital, Inc.</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5/4/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,974,450</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,962,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5/4/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,701,531</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,678,288</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Barclays</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Capital, Inc.</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5/4/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>15,614,096</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>15,593,375</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>UBS AG</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.54%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5/10/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,642,027</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,637,517</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5/16/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>976,008</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>974,400</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5/16/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,303,279</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,293,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Deutsche</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bank AG</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.58%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5/17/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,823,110</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,814,810</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5/19/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,277,057</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,273,410</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5/19/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,157,849</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,156,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.45%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5/20/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,258,397</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,256,763</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5/20/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,194,128</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,192,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Deutsche</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bank AG</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.38%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5/23/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,988,182</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,985,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5/25/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,655,674</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,651,663</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5/31/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,018,946</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,017,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5/31/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,514,168</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,511,825</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BNP Paribas</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6/1/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,235,137</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,232,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>UBS AG</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6/1/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,027,528</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,021,875</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Suisse</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.50%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6/20/11</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,689,849</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,686,112</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 41</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_43"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4><FONT size=2>BlackRock Limited Duration Income Trust (BLW)<BR></FONT>Schedule of Investments (continued) <BR></FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Reverse repurchase agreements outstanding as of August 31, 2011 were as follows</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(concluded):</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="20%"></TD>

   <TD width="13%"></TD>

   <TD width="14%"></TD>

   <TD width="13%"></TD>

   <TD width="2%"></TD>

   <TD width="20%"></TD>

   <TD width="15%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interest</FONT>&nbsp;</TD>

   <TD align=middle colSpan=3><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Trade&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Maturity</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net Closing</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Face</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Counterparty</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Rate</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Date</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Date</FONT><SUP><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Amount</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Amount</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit</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 style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6/22/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $ 4,459,357 </FONT></TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>4,454,525</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bank AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6/23/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>775,388</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>774,560</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bank AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.58%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6/27/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,380,779</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,378,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit</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 style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6/27/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>650,906</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>650,250</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bank AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.35%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7/18/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,267,741</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,265,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bank AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7/18/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>25,734,874</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>25,718,800</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bank AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(3.00)%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/2/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,783,474</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,790,450</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BNP Paribas</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.18%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/10/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9/13/11</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>40,103,785</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>40,096,768</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bank AG</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/15/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10,614,506</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10,611,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit</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 style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.20%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/16/11</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9/19/11</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>28,431,473</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>28,425,946</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit</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 style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(USA) LLC</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.60%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/16/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,364,380</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,363,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Capital, Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.40%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/29/11</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Open</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>673,774</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>673,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&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 colSpan=3><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$244,344,126 $244,119,962</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>1 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Certain agreements have no stated maturity and can be terminated by either party</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>at any time.<BR></FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fair Value Measurements &#8212; Various inputs are used in determining the fair value of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>investments and derivative financial instruments. These inputs are categorized in</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>three broad levels for financial statement purposes as follows:</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 1 &#8212; price quotations in active markets/exchanges for identical assets</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>and liabilities</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 2 &#8212; other observable inputs (including, but not limited to: quoted prices for</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>similar assets or liabilities in markets that are active, quoted prices for identical</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>or similar assets or liabilities in markets that are not active, inputs other than</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>quoted prices that are observable for the assets or liabilities (such as interest</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>default rates) or other market-corroborated inputs)</FONT><BR><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 3 &#8212; unobservable inputs based on the best information available in the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>circumstances, to the extent observable inputs are not available (including the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fund&#8217;s own assumptions used in determining the fair value of investments and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>derivative financial instruments)<BR></FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The categorization of a value determined for investments and derivative financial</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>instruments is based on the pricing transparency of the investment and derivative</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>financial instrument and does not necessarily correspond to the Fund&#8217;s perceived</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>risk of investing in those securities. For information about the Fund&#8217;s policy regarding</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>valuation of investments and derivative financial instruments and other significant</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>accounting policies, please refer to Note 1 of the Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The following tables summarize the inputs used as of August 31, 2011 in determin-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ing the fair valuation of the Fund&#8217;s investments and derivative financial instruments:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="19%"></TD>

   <TD width="5%"></TD>

   <TD width="17%"></TD>

   <TD width="20%"></TD>

   <TD width="18%"></TD>

   <TD width="18%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Valuation Inputs</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 2</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 3</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Investments:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Long-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Investments:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Asset-Backed</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right colSpan=4><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; &#8212;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 28,557,336&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;$ 11,549,300&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 40,106,636</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Common Stocks .</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>580,599</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,358,522</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,939,121</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Corporate Bonds .</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>346,378,340</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>186,065</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>346,564,405</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Floating Rate</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Loan Interests .</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>230,615,597</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>38,869,232</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>269,484,829</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Non-Agency</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Mortgage-Backed</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>85,499,391</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,829,283</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>88,328,674</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Other Interests</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,570,182</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,441,471</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,011,653</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Preferred</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 2,299,797</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>675,750</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>384,565</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,360,112</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Taxable Municipal</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bonds</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,190,606</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,190,606</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>US Government</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sponsored</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Agency</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>91,177,864</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>91,177,864</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>US Treasury</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Obligations</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,692,358</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,692,358</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 1px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Warrants</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>292,017</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>292,017</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Short-Term</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Securities</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,229,778</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,229,778</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Liabilities:</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>TBA Sale</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Commitments</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(18,277,855)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(18,277,855)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unfunded Loan</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Commitments</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(111,558)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(111,558)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=5><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 7,529,575&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; $783,548,610&nbsp;&nbsp;&nbsp;&nbsp; $ 58,910,455&nbsp;&nbsp; $849,988,640</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="21%"></TD>

   <TD width="24%"></TD>

   <TD width="16%"></TD>

   <TD width="22%"></TD>

   <TD width="14%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Valuation Inputs</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 1</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 2</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Level 3</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Derivative Financial Instruments</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1</FONT></SUP>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Foreign currency</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: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>exchange</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: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 11px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212; </FONT></TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>2,050</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 8px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212; </FONT></TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>2,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interest rate</FONT>&nbsp;</TD>

   <TD align=right>&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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 163,069</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 8px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>163,069</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 11px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>442,674</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 8px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>442,674</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Liabilities:</FONT>&nbsp;</TD>

   <TD align=right>&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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Foreign currency</FONT>&nbsp;</TD>

   <TD align=right>&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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>exchange</FONT>&nbsp;</TD>

   <TD align=right>&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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 11px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(557,808)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 9px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(557,808)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interest rate</FONT>&nbsp;</TD>

   <TD align=right>&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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 11px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(2,193)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 9px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(2,193)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 11px; BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(667,415)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (3,846)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(671,261)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 163,069 </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>(782,692)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (3,846) </FONT></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$<FONT face="Times New Roman" color=#000000 size=3>&nbsp;</FONT>(623,469)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>1 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Derivative financial instruments are swaps, financial futures contracts, foreign</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>currency exchange contracts and options. Swaps, financial futures contacts and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>foreign currency exchange contracts are valued at the unrealized appreciation/</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>depreciation on the instrument and options are shown at value.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>42 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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<DIV style="PAGE-BREAK-BEFORE: always"></DIV>


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<A name="page_44"></A><BR>

<P style="text-align: left;">
<FONT color="#394c87" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Schedule of Investments (concluded) </FONT><FONT color="#394c87" size=2 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">BlackRock Limited Duration Income Trust (BLW)</FONT></P>
<IMG src="brtax4ar0811x43x1.jpg" border=0>
<BR>
<P style="text-align: left;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The following table is a reconciliation of Level 3 derivative financial instruments for</FONT><BR>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">which significant unobservable inputs were used in determining fair value:</FONT></P>
<DIV align="left">
<TABLE border=0 cellspacing=0>
<TR>
     <TD width=70%></TD>
     <TD width=29%></TD></TR>
<TR valign="bottom">
	<TD align=left>
&nbsp;</TD>
	<TD align=center>
<FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Credit</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=center style="border-bottom:1px solid #000000;">
<FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Contracts</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Liabilities:</FONT>&nbsp;</TD>
	<TD align=left>
&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Balance, as of August 31, 2010</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">&#151;</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Accrued discounts/premiums</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">&#36; 9,294</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Net realized gain (loss)</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">&#151;</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Net change in unrealized appreciation/depreciation</FONT><SUP><FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">4</FONT></SUP>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(3,846)</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Purchases</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">&#151;</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Issuances</FONT><SUP><FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">5</FONT></SUP>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(31,664)</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Sales</FONT>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">&#151;</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Settlements</FONT><SUP><FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">6</FONT></SUP>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">22,370</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Transfers in</FONT><SUP><FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">7</FONT></SUP>&nbsp;</TD>
	<TD align=right>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">&#151;</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Transfers out</FONT><SUP><FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">7</FONT></SUP>&nbsp;</TD>
	<TD align=right style="border-bottom:1px solid #000000;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">&#151;</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT color="#231f20" size=1 face="FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif">Balance, as of August 31, 2011</FONT>&nbsp;</TD>
	<TD align=right style="border-bottom:1px solid #000000;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">&#36; (3,846)</FONT>&nbsp;</TD>
</TR>
</TABLE>
</DIV>
<P style="MARGIN:0px">&nbsp;</P>
<P style="text-align: left;">
<SUP><FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">4 </FONT></SUP><FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Included in the related net change in unrealized appreciation/depreciation</FONT><BR>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">in the Statements of Operations. The change in unrealized appreciation/</FONT><BR>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">depreciation on derivative financial instruments still held on August 31, 2011</FONT><BR>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">was &#36;(3,846).</FONT><BR>
<SUP><FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">5 </FONT></SUP><FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Issuances represent upfront cash received on certain derivative financial</FONT><BR>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">instruments.</FONT><BR>
<SUP><FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">6 </FONT></SUP><FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Settlements represent periodic contractual cash flows and/or cash flows to</FONT><BR>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">terminate certain derivative financial instruments.</FONT><BR>
<SUP><FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">7 </FONT></SUP><FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Fund&#146;s policy is to recognize transfers in and transfers out as of the</FONT><BR>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">beginning of the period of the event or the change in circumstances that</FONT><BR>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">caused the transfer.</FONT><BR>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">A reconciliation of Level 3 investments and derivative financial instruments is</FONT><BR>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">presented when the Fund had a significant amount of Level 3 investments and</FONT><BR>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">derivative financial instruments at the beginning and/or end of the year in relation</FONT><BR>
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">to net assets.</FONT></P>
<P style="text-align: left;">
<FONT color="#231f20" size=1 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">See Notes to Financial Statements.</FONT></P>
<P style="text-align: left;">
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">ANNUAL REPORT AUGUST 31, 2011 43</FONT></P>

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<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="48%"></TD>

   <TD width="18%"></TD>

   <TD width="11%"></TD>

   <TD width="11%"></TD>

   <TD width="10%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Statements of Assets and Liabilities</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Diversified</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Floating Rate</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Defined</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Income</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Income</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Limited</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Opportunity</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Strategies</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Strategies</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Duration</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit Trust</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fund, Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fund, Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Income Trust</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>August 31, 2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(BHL)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(DVF)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(FRA)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(BLW)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Assets</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Investments at value &#8212; unaffiliated</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 163,666,783</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 175,164,133</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 355,344,112</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 863,507,122</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Investments at value &#8212; affiliated</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,230,753</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,396,667</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,229,778</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unrealized appreciation on foreign currency exchange contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,145</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,404</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>14,636</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unrealized appreciation on swaps</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>83,827</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cash</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>79</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Foreign currency at value</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>155,512</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>136,682</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>237,166</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>259,951</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cash pledged as collateral for financial futures contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>78,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cash pledged as collateral for reverse repurchase agreements</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,995,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Investments sold receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,885,333</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,890,145</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,608,276</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>24,048,166</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>TBA sale commitments receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>18,154,863</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interest receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>364,979</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>623,261</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,064,670</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,586,064</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Principal paydown receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>777,042</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>937,668</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,605,098</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,653,787</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Dividends receivable &#8212; affiliated</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>623</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Dividends receivable &#8212; unaffiliated</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Swaps receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,531</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Margin variation receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,225</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Prepaid expenses</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>17,953</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>21,294</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>42,597</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>39,396</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Other assets</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>769,588</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total assets</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>169,104,579</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>180,778,587</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>367,313,222</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>923,426,471</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Liabilities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Bank overdraft</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,044,731</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>573,035</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Loan payable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>43,000,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>47,000,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>93,000,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unrealized depreciation on unfunded loan commitments</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>38,703</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>45,062</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>77,372</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>111,558</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unrealized depreciation on foreign currency exchange contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>32,056</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>27,935</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>72,186</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>557,808</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unrealized depreciation on swaps</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,846</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Reverse repurchase agreements</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>244,119,962</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Investments purchased payable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,566,231</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,001,622</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>13,595,945</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>47,442,691</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>TBA sale commitments at value</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>18,277,855</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Payable for reverse repurchase agreements</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,007,615</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Options written at value</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>669,608</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Investment advisory fees payable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>140,935</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>114,087</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>228,618</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>393,313</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Deferred income</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,454</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,757</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>15,592</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Swaps payable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>69,322</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Income dividends payable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>55,365</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>45,648</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>104,169</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>115,999</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interest expense payable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>50,964</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>40,330</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>160,690</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>218,814</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Officer's and Directors' fees payable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>452</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>423</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>999</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>173,686</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Other accrued expenses payable</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>315,524</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>145,234</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>280,032</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>446,733</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total liabilities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>50,207,684</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>54,471,829</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>108,108,638</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>313,608,810</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net Assets</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 118,896,895</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 126,306,758</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 259,204,584</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 609,817,661</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Net Assets Consist of</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Paid-in capital</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,7,8</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 128,073,078</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 229,202,981</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 349,984,847</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 701,901,206</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Undistributed (distributions in excess of) net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>316,267</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(252,833)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(138,319)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,392,851</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Accumulated net realized loss</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(3,842,415)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(86,368,737)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(68,336,999)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(69,629,554)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net unrealized appreciation/depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(5,650,035)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(16,274,653)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(22,304,945)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(26,846,842)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net Assets</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 118,896,895</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 126,306,758</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 259,204,584</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 609,817,661</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net asset value, offering and redemption price per share</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 13.17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 10.19</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 14.04</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 16.52</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Investments at cost &#8212; unaffiliated</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 169,251,866</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 191,379,828</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 377,514,590</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 890,073,074</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Investments at cost &#8212; affiliated</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 2,230,753</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 5,396,667</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 5,229,778</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Foreign currency at cost</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 155,944</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 137,066</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 237,065</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 260,046</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Proceeds from TBA sale commitments</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 18,154,863</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Premiums received</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 306,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Par value per share</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 0.001</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 0.10</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 0.10</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 0.001</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Shares outstanding</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,027,106</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,401,086</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>18,467,299</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>36,920,067</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Shares authorized</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>unlimited</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>200 million</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>200 million</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>unlimited</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>44 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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   <TD width="11%"></TD>

   <TD width="11%"></TD>

   <TD width="10%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Statements of Operations</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=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Diversified</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Floating Rate</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Defined</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Income</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Income</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Limited</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Opportunity</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Strategies</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Strategies</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Duration</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit Trust</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fund, Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fund, Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Income Trust</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Year Ended August 31, 2011</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(BHL)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(DVF)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(FRA)</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(BLW)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Investment Income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interest</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 10,263,274</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 11,662,894</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 22,109,738</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 55,911,750</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Dividends &#8212; affiliated</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,213</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,467</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,978</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>41,695</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10,266,487</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>11,666,361</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>22,114,716</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>55,953,445</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Expenses</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Investment advisory</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,628,860</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,329,244</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,653,686</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,565,355</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Professional</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>174,339</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>174,825</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>248,500</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>342,405</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Borrowing costs</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>151,042</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>144,886</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>303,008</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Custodian</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>66,906</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>69,111</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>117,516</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>146,090</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Printing</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>28,743</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>26,241</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>52,116</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>214,190</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Accounting services</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>28,770</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>29,986</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>57,908</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>93,111</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Officer and Directors</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>13,908</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>14,756</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>29,744</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>79,572</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Transfer agent</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>23,725</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>29,016</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>36,336</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,062</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Registration</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,372</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,587</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,635</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,934</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Miscellaneous</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>40,911</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>38,593</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>54,590</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>110,165</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total expenses excluding interest expense</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,166,576</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,866,245</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,563,039</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,575,884</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interest expense</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>387,469</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>460,830</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>849,145</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>851,808</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total expenses</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,554,045</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,327,075</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,412,184</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,427,692</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Less fees waived by advisor</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1,448)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1,551)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(2,385)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(4,615)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Less fees paid indirectly</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(365)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total expenses after fees waived and paid indirectly</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,552,597</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,325,524</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,409,799</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,422,712</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,713,890</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,340,837</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>17,704,917</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>49,530,733</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Realized and Unrealized Gain (Loss)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net realized gain (loss) from:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Investments</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,308,749</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(2,021,346)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,164,629</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10,064,954</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Financial futures contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(730,556)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Foreign currency transactions</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1,155,397)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1,139,239)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1,967,144)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(5,968,342)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Options written</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(21,025)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Swaps</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(10,913)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(72,270)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,153,352</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(3,171,498)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,197,485</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,272,761</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net change in unrealized appreciation/depreciation on:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Investments</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(6,129,179)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(440,558)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(8,898,351)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(17,306,195)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Financial futures contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>343,883</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Foreign currency transactions</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(33,653)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(41,196)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(9,372)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>195,416</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Options written</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(363,558)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Swaps</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>21,480</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,980</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unfunded loan commitments</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,040</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,598</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(8,267)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>62,125</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(6,154,792)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(458,676)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(8,915,990)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(17,061,349)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total realized and unrealized loss</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(4,001,440)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(3,630,174)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(6,718,505)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(13,788,588)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net Increase in Net Assets Resulting from Operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 3,712,450</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 5,710,663</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 10,986,412</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 35,742,145</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px" align=left><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Note 9 of the Notes to Financial Statements for details of short-term borrowings.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 45</FONT></P>

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   <TD align=left><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Statements of Changes in Net Assets</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock Defined</FONT>&nbsp;</TD>

   <TD align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock Diversified</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Opportunity Credit Trust (BHL)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Income Strategies Fund (DVF)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Year Ended August 31,</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 6px; BORDER-BOTTOM: #000000 1px solid" align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Year Ended August 31,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Increase (Decrease) in Net Assets:</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2010</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2010</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 7,713,890</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 7,661,944</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 9,340,837</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 9,875,073</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net realized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,153,352</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,285,459</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(3,171,498)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(15,451,009)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(6,154,792)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,522,220</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(458,676)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>37,352,693</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net increase in net assets resulting from operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,712,450</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>15,469,623</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5,710,663</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>31,776,757</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Dividends and Distributions to Shareholders From</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(7,140,522)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(6,270,058)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(8,509,258)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(9,834,087)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tax return of capital</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(739,496)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(666,708)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Decrease in net assets resulting from dividends and distributions to shareholders</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(7,140,522)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(6,270,058)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(9,248,754)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(10,500,795)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Capital Share Transactions</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Reinvestment of dividends</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>263,352</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>460,151</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>552,341</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Net Assets</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total increase (decrease) in net assets</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(3,164,720)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,199,565</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(3,077,940)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>21,828,303</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Beginning of year</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>122,061,615</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>112,862,050</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>129,384,698</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>107,556,395</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>End of year</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 118,896,895</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 122,061,615</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 126,306,758</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 129,384,698</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Undistributed (distributions in excess of) net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 316,267</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 784,213</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (252,833)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (166,631)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>46 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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   <TD align=left><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Statements of Changes in Net Assets (concluded)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px" align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock Floating Rate</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock Limited Duration</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Income Strategies Fund, Inc. (FRA)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Income Trust (BLW)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Year Ended August 31,</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Year Ended August 31,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Increase (Decrease) in Net Assets:</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2010</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2010</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 17,704,917</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 16,622,980</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 49,530,733</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 41,283,432</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net realized gain (loss)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,197,485</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(14,156,705)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,272,761</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(11,714,049)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net change in unrealized appreciation/depreciation</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(8,915,990)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>41,425,444</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(17,061,349)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>71,507,938</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net increase in net assets resulting from operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10,986,412</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>43,891,719</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>35,742,145</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>101,077,321</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Dividends and Distributions to Shareholders From</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(15,965,641)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(17,335,715)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(45,830,635)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(33,200,685)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tax return of capital</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1,072,049)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(378,219)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Decrease in net assets resulting from dividends and distributions to shareholders</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(17,037,690)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(17,713,934)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(45,830,635)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(33,200,685)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Capital Share Transactions</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Reinvestment of dividends</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>876,684</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,041,829</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>524,981</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Net Assets</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total increase (decrease) in net assets</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(5,174,594)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>27,219,614</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(9,563,509)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>67,876,636</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Beginning of year</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>264,379,178</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>237,159,564</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>619,381,170</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>551,504,534</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>End of year</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 259,204,584</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 264,379,178</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 609,817,661</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 619,381,170</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Undistributed (distributions in excess of) net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (138,319)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (512,837)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 4,392,851</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 6,278,697</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 47</FONT></P>

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   <TD align=left><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Statements of Cash Flows</FONT>&nbsp;</TD>

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   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock</FONT>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Diversified</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Floating Rate</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Limited</FONT>&nbsp;</TD></TR>

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   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Defined</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Income</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Income</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Duration</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Opportunity</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Strategies</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Strategies</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Income</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit Trust</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fund, Inc.</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fund, Inc.</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Trust</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Year Ended August 31, 2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(BHL)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(DVF)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(FRA)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(BLW)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Cash Provided by Operating Activities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net increase in net assets resulting from operations</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 3,712,450</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 5,710,663</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 10,986,412</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 35,742,145</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Adjustments to reconcile net increase in net assets resulting from operations to</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>net cash provided by operating activities:</FONT>&nbsp;</TD>

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   <TD align=left>&nbsp;</TD>

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<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Decrease in interest receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>766,756</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>889,422</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,966,254</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>973,160</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Decrease in swap receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,840</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>111,969</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Decrease in other assets</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>126,609</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>535,014</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>229,558</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>229,764</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Decrease in commitment fees receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,834</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,454</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10,785</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Decrease in dividend receivable &#8212; affiliated</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(35)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Decrease in dividends receivable &#8212; unaffiliated</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(6,000)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Decrease in margin variation receivable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>13,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Decrease in prepaid expenses</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>33,805</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>25,456</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>44,992</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>11,423</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Decrease in cash pledged as collateral for reverse repurchase agreements</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1,995,000)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Decrease in cash pledged as collateral for financial futures contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(8,500)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Increase in investment advisory fees payable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>17,274</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>13,232</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>27,622</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>49,357</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Decrease in deferred income payable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(63,500)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(71,405)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(61,448)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(311,327)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Increase (decrease) in interest expense payable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(384)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(20,502)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>46,538</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>121,043</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Increase in other accrued expenses payable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>75,577</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>66,893</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>136,361</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>183,770</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Decrease in other affiliates payable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(466)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(492)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(982)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(2,242)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Decrease in other liabilities</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(28,578)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(8,912)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(23,811)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(19,724)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Decrease in swaps payable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1,000)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>58,322</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Increase in Officer's and Directors' fees payable</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>163</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>79</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>300</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>16,553</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net periodic and termination payments of swaps</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,387</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Premiums received from options written</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>306,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net realized and unrealized gain on investments</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,372,715</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,064,610</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4,743,828</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,594,346</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Amortization of premium and accretion of discount on investments</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1,274,188)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1,229,782)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(2,341,999)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(4,505,974)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Paid-in-kind income</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(68,904)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(244,929)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(454,000)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1,374,755)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Proceeds from sales of long-term investments</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>155,525,531</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>169,407,174</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>336,857,961</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>863,695,736</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Purchases of long-term investments</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(172,085,955)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(189,160,394)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(372,053,171)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(961,848,202)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net sales (purchases) of short-term securities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1,058,556)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,822,139</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(4,608,468)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(5,229,778)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cash provided by operating activities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(11,949,651)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(10,198,060)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(24,499,599)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(72,174,227)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Cash Used for Financing Activities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cash receipts from borrowings</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>158,419,485</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>147,000,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>289,000,000</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>332,192,050</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cash payments from borrowings</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(139,419,485)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(129,000,000)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(249,000,000)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(211,305,242)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cash dividends paid to Common Shareholders</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(6,914,362)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(8,742,955)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(16,056,837)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(45,295,689)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Increase (decrease) in bank overdraft</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,044,731</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>573,035</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(3,179,743)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cash used for financing activities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,085,638</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10,301,776</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>24,516,198</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>72,411,376</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Cash Impact from Foreign Exchange Fluctuations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cash impact from foreign exchange fluctuations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(306)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(86)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>89</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3,794</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Cash and Foreign Currency</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net increase in cash and foreign currency</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>135,681</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>103,630</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>16,688</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>240,943</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cash and foreign currency at beginning of year</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>19,910</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>33,052</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>220,478</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>19,008</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cash and foreign currency at end of year</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 155,591</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 136,682</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 237,166</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 259,951</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Cash Flow Information</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Cash paid during the year for interest and fees</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 387,853</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 481,332</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 802,607</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 730,765</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Noncash Financing Activities</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Capital shares issued in reinvestment of dividends paid to Common Shareholders</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 263,352</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 460,151</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 876,684</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 524,981</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 5px" align=left colSpan=6><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>A Statement of Cash Flows is presented when a Fund has a significant amount of borrowing during the year, based on the average borrowing outstanding in relation to</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>average total assets.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>48 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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   <TD align=left><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Financial Highlights</FONT>&nbsp;</TD>

   <TD align=right colSpan=5><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=2>BlackRock Defined Opportunity Credit Trust (BHL)</FONT>&nbsp;</TD></TR>

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   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Period</FONT>&nbsp;</TD></TR>

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   <TD align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>January 31,</FONT>&nbsp;</TD></TR>

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   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2008</FONT><SUP><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1</FONT></SUP>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle colSpan=4><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Year Ended August 31,</FONT></TD>

   <TD align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>to August 31,</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2010</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2009</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2008</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Per Share Operating Performance</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#e3e3ef>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net asset value, beginning of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 13.55</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 12.53</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 14.31</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 14.33</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2</FONT></SUP>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net investment income</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.86</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.85</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.87</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.47</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net realized and unrealized gain (loss)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.45)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.87</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.55)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.21</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net increase (decrease) from investment operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.41</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.72</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.68)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.68</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Dividends and distributions from:</FONT>&nbsp;</TD>

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   <TD align=left>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.79)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.70)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.09)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.62)</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tax return of capital</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.01)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.06)</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total dividends and distributions</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.79)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.70)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.10)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.68)</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Capital charges with respect to issuance of shares</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.02)</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net asset value, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 13.17</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 13.55</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 12.53</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 14.31</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Market price, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 12.65</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 12.86</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 11.03</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 12.66</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Total Investment Return</FONT><SUP><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Based on net asset value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.93%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>14.39%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(2.16)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.79%</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5</FONT></SUP>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Based on market price</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.17%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>23.33%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(2.65)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(11.44)%</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5</FONT></SUP>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Ratios to Average Net Assets</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total expenses</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.02%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.91%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.39%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.78%</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6</FONT></SUP>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total expenses after fees waived and paid indirectly</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.02%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.90%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.39%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.78%</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6</FONT></SUP>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total expenses after fees waived and paid indirectly and excluding interest expense</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.71%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.65%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.94%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.48%</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6</FONT></SUP>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.10%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.40%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.11%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.52%</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6</FONT></SUP>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Supplemental Data</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net assets, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 118,897</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 122,062</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 112,862</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 127,695</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Borrowings outstanding, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 43,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 24,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 27,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 38,500</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average borrowings outstanding during the period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 36,369</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 24,633</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 31,141</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 13,788</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Portfolio turnover</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>91%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>102%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>41%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>18%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Asset coverage, end of period per $1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 3,765</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 6,086</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 5,180</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 4,317</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>1 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Commencement of operations.</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net asset value, beginning of period, reflects a deduction of $0.675 per share sales charge from initial offering price of $15.00 per share.</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Based on average shares outstanding.</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Aggregate total investment return.</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Annualized.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 49</FONT></P>

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   <TD align=left><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Financial Highlights</FONT>&nbsp;</TD>

   <TD align=right colSpan=5><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=2>BlackRock Diversified Income Strategies Fund, Inc. (DVF)</FONT>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle colSpan=3><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Year Ended August 31,</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2010</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2009</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2008</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2007</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Per Share Operating Performance</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net asset value, beginning of year</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 10.47</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 8.74</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 13.94</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 17.50</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 18.70</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net investment income</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.75</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.80</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.06</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.61</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.83</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net realized and unrealized gain (loss)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.28)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.78</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(4.88)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(3.41)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.23)</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net increase (decrease) from investment operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.47</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.58</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(3.82)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.80)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.60</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Dividends and distributions from:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.69)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.80)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.14)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.72)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.80)</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tax return of capital</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.06)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.05)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.24)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.04)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total dividends and distributions</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.75)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.85)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.38)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.76)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.80)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net asset value, end of year</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 10.19</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 10.47</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 8.74</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 13.94</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 17.50</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Market price, end of year</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 9.84</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 10.45</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 8.80</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 12.77</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 17.16</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Total Investment Return</FONT><SUP><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>2</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Based on net asset value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.30%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>30.27%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(23.82)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(10.17)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.00%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Based on market price</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.91%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>29.13%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(16.27)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(16.08)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.19%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Ratios to Average Net Assets</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total expenses</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.74%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.53%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.47%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.77%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.66%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total expenses after fees waived and paid indirectly</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.74%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.53%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.47%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.77%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.66%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total expenses after fees waived and paid indirectly and excluding interest expense</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.39%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.26%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.57%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.23%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.30%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.99%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.86%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>13.63%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10.40%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9.63%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Supplemental Data</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net assets, end of year (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 126,307</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 129,385</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 107,556</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 169,707</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 212,792</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Borrowings outstanding, end of year (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 47,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 29,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 18,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 65,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 72,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average borrowings outstanding during the year (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 43,553</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 25,074</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 28,247</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 64,335</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 95,465</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Portfolio turnover</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>93%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>105%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>45%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>41%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>72%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Asset coverage, end of year per $1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 3,687</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 5,462</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 6,975</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 3,591</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 3,955</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>1 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Based on average shares outstanding.</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>50 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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   <TD align=left><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Financial Highlights</FONT>&nbsp;</TD>

   <TD align=right colSpan=5><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=2>BlackRock Floating Rate Income Strategies Fund, Inc. (FRA)</FONT>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle colSpan=3><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Year Ended August 31,</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2010</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2009</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2008</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2007</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Per Share Operating Performance</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net asset value, beginning of year</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 14.36</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 12.93</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 16.12</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 18.25</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 19.32</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net investment income</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1</FONT></SUP>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.96</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.91</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.14</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.45</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.54</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net realized and unrealized gain (loss)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.36)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.48</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(3.04)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(2.03)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.07)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net increase (decrease) from investment operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.60</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.39</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.90)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.58)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.47</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Dividends and distributions from:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.86)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.94)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.29)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.55)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.54)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tax return of capital</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.06)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.02)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total dividends and distributions</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.92)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.96)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.29)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.55)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.54)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net asset value, end of year</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 14.04</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 14.36</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 12.93</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 16.12</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 18.25</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Market price, end of year</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 13.33</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 14.61</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 12.26</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 14.49</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 16.70</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Total Investment Return</FONT><SUP><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>2</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Based on net asset value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4.04%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>18.91%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(8.88)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(2.56)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.74%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Based on market price</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(2.91)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>27.59%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(3.88)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(4.28)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.85%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Ratios to Average Net Assets</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total expenses</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.60%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.45%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.96%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.61%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.33%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total expenses after fees waived and paid indirectly</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.60%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.45%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.96%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.60%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3.33%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total expenses after fees waived and paid indirectly and excluding</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>interest expense</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.30%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.22%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.31%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.18%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.20%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.44%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.43%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>10.18%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8.49%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.88%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Supplemental Data</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net assets, end of year (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 259,205</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 264,379</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 237,160</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 295,005</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 334,065</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Borrowings outstanding, end of year (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 93,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 53,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 38,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 101,500</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 107,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average borrowings outstanding during the year (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 79,195</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 48,258</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 50,591</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 102,272</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 133,763</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Portfolio turnover</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>91%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>96%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>58%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>49%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>69%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Asset coverage, end of year per $1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 3,787</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 5,988</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 7,241</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 3,906</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 4,122</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>1 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Based on average shares outstanding.</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns. Where applicable,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 51</FONT></P>

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   <TD align=left><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Financial Highlights</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD align=right colSpan=4><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=2>BlackRock Limited Duration Income Trust (BLW)</FONT>&nbsp;</TD></TR>

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   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Period</FONT>&nbsp;</TD>

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   <TD align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>November 1,</FONT>&nbsp;</TD>

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   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2007 to</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle colSpan=3><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Year Ended August 31,</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>August 31,</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Year Ended October 31,</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; 2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2010</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2009</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2008</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2007</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2006</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Per Share Operating Performance</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net asset value, beginning of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 16.79</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 14.95</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 16.71</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 18.52</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 19.01</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 19.17</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.34</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.12</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.01</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.14</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.50</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.35</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net realized and unrealized gain (loss)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.37)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.62</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.61)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.76)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.49)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.03</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net increase (decrease) from investment operations</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.97</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.74</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.60)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.62)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.01</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.38</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Dividends and distributions from:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.24)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.90)</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.16)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.19)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.41)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.52)</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net realized gain</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.06)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tax return of capital</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.03)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.02)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total dividends and distributions</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.24)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(0.90)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.16)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.19)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.50)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.54)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net asset value, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 16.52</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 16.79</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 14.95</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 16.71</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 18.52</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 19.01</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Market price, end of period</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 16.01</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 16.76</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 14.09</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 14.57</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 16.68</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 18.85</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Total Investment Return</FONT><SUP><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>2</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Based on net asset value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.85%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>19.00%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(1.57)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(2.60)%</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5.66%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.85%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Based on market price</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.77%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>26.04%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.40%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(5.70)%</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(4.03)%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>17.31%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Ratios to Average Net Assets</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total expenses</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.01%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.82%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.72%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.39%</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.16%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.20%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total expenses after fees waived and before fees paid indirectly</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.00%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.81%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.71%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.39%</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.16%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.20%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total expenses after fees waived and paid indirectly</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.00%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.81%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.71%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.38%</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.14%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2.19%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total expenses after fees waived and paid indirectly and</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>excluding interest expense</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.87%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.73%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.69%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.76%</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.83%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.91%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net investment income</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.75%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6.90%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.42%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.84%</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.92%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7.10%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Supplemental Data</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net assets, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 609,818</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 619,381</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 551,505</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 616,393</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 638,109</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 699,206</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Borrowings outstanding, end of period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 244,120</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 123,233</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 64,538</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 109,287</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 220,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average borrowings outstanding during the period (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 191,303</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 44,160</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 11,705</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 120,295</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 172,040</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 179,366</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Portfolio turnover</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>106%</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>248%</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>287%</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>191%</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>65%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>132%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Asset coverage, end of period per $1,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 3,498</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 6,026</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 10,551</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 7,251</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 4,178</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>1 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Based on average shares outstanding.</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total investment returns based on market value, which can be significantly greater or lesser than the net asset value, may result in substantially different returns.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Where applicable, total investment returns exclude the effects of any sales charges and include the reinvestment of dividends and distributions.</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Aggregate total investment return.</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>4 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Annualized.</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Includes mortgage dollar roll and TBA transactions. Excluding these transactions, the portfolio turnover would have been 87%.</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 113%.</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Includes mortgage dollar roll transactions. Excluding these transactions, the portfolio turnover would have been 79%.</FONT><BR><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Includes TBA transactions. Excluding these transactions, the portfolio turnover would have been 24%.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>See Notes to Financial Statements.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>52 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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<P style="text-align: left;">
<FONT color="#394c87" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Notes to Financial Statements</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-Demi,Arial,Helvetica,sans-serif">1. Organization and Significant Accounting Policies:</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Defined Opportunity Credit Trust (&#147;BHL&#148;), BlackRock Diversified</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Income Strategies Fund, Inc. (&#147;DVF&#148;), BlackRock Floating Rate Income</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Strategies Fund, Inc. (&#147;FRA&#148;) and BlackRock Limited Duration Income Trust</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(&#147;BLW&#148;) (collectively, the &#147;Funds&#148; or individually as a &#147;Fund&#148;) are registered</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">under the Investment Company Act of 1940, as amended (the &#147;1940 Act&#148;),</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">as diversified, closed-end management investment companies. BHL and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BLW are organized as Delaware Statutory trusts. DVF and FRA are organ-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ized as Maryland corporations. The Funds&#146; financial statements are pre-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">pared in conformity with accounting principles generally accepted in the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">United States of America (&#147;US GAAP&#148;), which may require management to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">make estimates and assumptions that affect the reported amounts and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">disclosures in the financial statements. Actual results could differ from</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">those estimates. The Board of Directors and the Board of Trustees of the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Funds are referred to throughout this report as the &#147;Board of Directors&#148; or</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the &#147;Board&#148;. The Funds determine and make available for publication the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">net asset values on a daily basis.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The following is a summary of significant accounting policies followed by</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the Funds:</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Valuation: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">US GAAP defines fair value as the price the Funds would receive</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">to sell an asset or pay to transfer a liability in an orderly transaction</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">between market participants at the measurement date. The Funds fair value</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">their financial instruments at market value using independent dealers or</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">pricing services under policies approved by the Board. The Funds value</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">their bond investments on the basis of last available bid prices or current</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">market quotations provided by dealers or pricing services. Floating rate</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">loan interests are valued at the mean of the bid prices from one or more</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">brokers or dealers as obtained from a pricing service. In determining the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">value of a particular investment, pricing services may use certain informa-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tion with respect to transactions in such investments, quotations from</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">dealers, pricing matrixes, market transactions in comparable investments,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">various relationships observed in the market between investments and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">calculated yield measures. Asset-backed and mortgage-backed securities</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">are valued by independent pricing services using models that consider</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">estimated cash flows of each tranche of the security, establish a bench-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">mark yield and develop an estimated tranche specific spread to the bench-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">mark yield based on the unique attributes of the tranche. Financial futures</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">contracts traded on exchanges are valued at their last sale price. To-be-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">announced (&#147;TBA&#148;) commitments are valued on the basis of last available</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">bid prices or current market quotations provided by pricing services.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Swap agreements are valued utilizing quotes received daily by the Funds&#146;</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">pricing service or through brokers, which are derived using daily swap</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">curves and models that incorporate a number of market data factors, such</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">as discounted cash flows, trades and values of the underlying reference</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">instruments. Investments in open-end registered investment companies</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">are valued at net asset value each business day. Short-term securities with</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">remaining maturities of 60 days or less may be valued at amortized cost,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">which approximates fair value.</FONT></P>
<P style="text-align: left;">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Equity investments traded on a recognized securities exchange or the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">NASDAQ Global Market System (&#147;NASDAQ&#148;) are valued at the last reported</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">sale price that day or the NASDAQ official closing price, if applicable. For</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">equity investments traded on more than one exchange, the last reported</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">sale price on the exchange where the stock is primarily traded is used.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Equity investments traded on a recognized exchange for which there were</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">no sales on that day are valued at the last available bid (long positions)</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">or ask (short positions) price. If no bid or ask price is available, the prior</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">day&#146;s price will be used, unless it is determined that such prior day&#146;s price</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">no longer reflects the fair value of the security.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Securities and other assets and liabilities denominated in foreign curren-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">cies are translated into US dollars using exchange rates determined as of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the close of business on the NYSE. Foreign currency exchange contracts</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">are valued at the mean between the bid and ask prices and are deter-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">mined as of the close of business on the NYSE. Interpolated values are</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">derived when the settlement date of the contract is an interim date for</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">which quotations are not available.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Exchange-traded options are valued at the mean between the last bid</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and ask prices at the close of the options market in which the options</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">trade. An exchange-traded option for which there is no mean price is</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">valued at the last bid (long positions) or ask (short positions) price. If no</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">bid or ask price is available, the prior day&#146;s price will be used, unless it is</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">determined that the prior day&#146;s price no longer reflects the fair value of the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">option. Over-the-counter (&#147;OTC&#148;) options are valued by an independent</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">pricing service using a mathematical model which incorporates a number</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">of market data factors, such as the trades and prices of the underlying</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">instruments.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">In the event that application of these methods of valuation results in a</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">price for an investment which is deemed not to be representative of the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">market value of such investment or if a price is not available, the invest-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ment will be valued in accordance with a policy approved by the Board</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">as reflecting fair value (&#147;Fair Value Assets&#148;). When determining the price</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">for Fair Value Assets, the investment advisor and/or the sub-advisor seeks</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">to determine the price that each Fund might reasonably expect to receive</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">from the current sale of that asset in an arm&#146;s-length transaction. Fair value</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">determinations shall be based upon all available factors that the invest-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ment advisor and/or sub-advisor deems relevant. The pricing of all Fair</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Value Assets is subsequently reported to the Board or a committee thereof.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Generally, trading in foreign instruments is substantially completed</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">each day at various times prior to the close of business on the NYSE.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Occasionally, events affecting the values of such instruments may occur</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">between the foreign market close and the close of business on the NYSE</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">that may not be reflected in the computation of each Fund&#146;s net assets.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">If events (for example, a company announcement, market volatility or a</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">natural disaster) occur during such periods that are expected to materially</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">affect the value of such instruments, those instruments may be Fair Value</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Assets and be valued at their fair value, as determined in good faith by</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the investment advisor using a pricing service and/or policies approved by</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the Board.</FONT></P>
<P style="text-align: left;">
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">ANNUAL REPORT AUGUST 31, 2011 53</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Notes to Financial Statements (continued)</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Foreign Currency Transactions: </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Funds&#8217; books and records are main-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>tained in US dollars. Purchases and sales of investment securities are</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>recorded at the rates of exchange prevailing on the respective date of such</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>transactions. Generally, when the US dollar rises in value against a foreign</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>currency, the Funds&#8217; investments denominated in that currency will lose</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>value because its currency is worth fewer US dollars; the opposite effect</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>occurs if the US dollar falls in relative value.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Funds do not isolate the portion of the results of operations arising as</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>a result of changes in the foreign exchange rates from the changes in the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>market prices of investments held or sold for financial reporting purposes.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Accordingly, the effects of changes in foreign currency exchange rates on</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>investments are not segregated on the Statements of Operations from the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>effects of changes in market prices of those investments but are included</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>as a component of net realized and unrealized gain (loss) from invest-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ments. The Funds report realized currency gains (losses) on foreign cur-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>rency related transactions as components of net realized gain (loss) for</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>financial reporting purposes, whereas such components are treated as</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ordinary income for federal income tax purposes.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Asset-Backed and Mortgage-Backed Securities: </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Certain Funds may invest</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>in asset-backed securities. Asset-backed securities are generally issued as</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>pass-through certificates, which represent undivided fractional ownership</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>interests in an underlying pool of assets, or as debt instruments, which are</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>also known as collateralized obligations, and are generally issued as the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>debt of a special purpose entity organized solely for the purpose of owning</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>such assets and issuing such debt. Asset-backed securities are often</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>backed by a pool of assets representing the obligations of a number of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>different parties. The yield characteristics of certain asset-backed securities</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>may differ from traditional debt securities. One such major difference is</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>that all or a principal part of the obligations may be prepaid at any time</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>because the underlying assets (i.e., loans) may be prepaid at any time. As</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>a result, a decrease in interest rates in the market may result in increases</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>in the level of prepayments as borrowers, particularly mortgagors, refinance</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and repay their loans. An increased prepayment rate with respect to an</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>asset-backed security subject to such a prepayment feature will have the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>effect of shortening the maturity of the security. If a Fund has purchased</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>such an asset-backed security at a premium, a faster than anticipated</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>prepayment rate could result in a loss of principal to the extent of the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>premium paid.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Certain Funds may purchase certain mortgage pass-through securities.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>There are a number of important differences among the agencies and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>instrumentalities of the US government that issue mortgage-related</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>securities and among the securities that they issue. For example, mortgage-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>related securities guaranteed by Ginnie Mae are guaranteed as to the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>timely payment of principal and interest by Ginnie Mae and such guarantee</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>is backed by the full faith and credit of the United States. However,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>mortgage-related securities issued by Freddie Mac and Fannie Mae,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>including Freddie Mac and Fannie Mae guaranteed Mortgage Pass-Through</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Certificates, which are solely the obligations of Freddie Mac and Fannie<BR></FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Mae, are not backed by or entitled to the full faith and credit of the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>United States but are supported by the right of the issuer to borrow from</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the Treasury.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Zero-Coupon Bonds: </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Certain Funds may invest in zero-coupon bonds, which</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>are normally issued at a significant discount from face value and do not</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>provide for periodic interest payments. Zero-coupon bonds may experience</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>greater volatility in market value than similar maturity debt obligations</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>which provide for regular interest payments.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Preferred Stock: </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Certain Funds may invest in preferred stocks. Preferred</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>stock has a preference over common stock in liquidation (and generally</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>in receiving dividends as well) but is subordinated to the liabilities of the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>issuer in all respects. As a general rule, the market value of preferred stock</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>with a fixed dividend rate and no conversion element varies inversely with</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>interest rates and perceived credit risk, while the market price of convertible</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>preferred stock generally also reflects some element of conversion value.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Because preferred stock is junior to debt securities and other obligations of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the issuer, deterioration in the credit quality of the issuer will cause greater</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>changes in the value of a preferred stock than in a more senior debt</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>security with similar stated yield characteristics. Unlike interest payments</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>on debt securities, preferred stock dividends are payable only if declared</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>by the issuer&#8217;s board of directors. Preferred stock also may be subject to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>optional or mandatory redemption provisions.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Floating Rate Loan Interests: </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Certain Funds may invest in floating rate loan</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>interests. The floating rate loan interests the Funds hold are typically issued</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>to companies (the &#8220;borrower&#8221;) by banks, other financial institutions, and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>privately and publicly offered corporations (the &#8220;lender&#8221;). Floating rate loan</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>interests are generally non-investment grade, often involve borrowers whose</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>financial condition is troubled or uncertain and companies that are highly</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>leveraged. The Funds may invest in obligations of borrowers who are in</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>bankruptcy proceedings. Floating rate loan interests may include fully</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>funded term loans or revolving lines of credit. Floating rate loan interests</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>are typically senior in the corporate capital structure of the borrower.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Floating rate loan interests generally pay interest at rates that are periodi-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>cally determined by reference to a base lending rate plus a premium. The</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>base lending rates are generally the lending rate offered by one or more</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>European banks, such as LIBOR (London Interbank Offered Rate), the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>prime rate offered by one or more US banks or the certificate of deposit</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>rate. Floating rate loan interests may involve foreign borrowers, and invest-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ments may be denominated in foreign currencies. The Funds consider these</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>investments to be investments in debt securities for purposes of their</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>investment policies.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>When a Fund purchases a floating rate loan interest it may receive a facility</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>fee and when it sells a floating rate loan interest it may pay a facility fee.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>On an ongoing basis, the Funds may receive a commitment fee based on</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the undrawn portion of the underlying line of credit amount of a floating</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>rate loan interest. Facility and commitment fees are typically amortized</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>to income over the term of the loan or term of the commitment, respec-</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>54 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Notes to Financial Statements (continued)</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>tively. Consent and amendment fees are recorded to income as earned.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Prepayment penalty fees, which may be received by the Funds upon the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>prepayment of a floating rate loan interest by a borrower, are recorded</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>as realized gains. The Funds may invest in multiple series or tranches of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>a loan. A different series or tranche may have varying terms and carry</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>different associated risks.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Floating rate loan interests are usually freely callable at the borrower&#8217;s</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>option. The Funds may invest in such loans in the form of participations</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>in loans (&#8220;Participations&#8221;) or assignments (&#8220;Assignments&#8221;) of all or a</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>portion of loans from third parties. Participations typically will result in</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the Funds having a contractual relationship only with the lender, not with</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the borrower. The Funds will have the right to receive payments of principal,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>interest and any fees to which it is entitled only from the lender selling the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Participation and only upon receipt by the lender of the payments from the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>borrower. In connection with purchasing Participations, the Funds generally</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>will have no right to enforce compliance by the borrower with the terms of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the loan agreement, nor any rights of offset against the borrower, and the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Funds may not benefit directly from any collateral supporting the loan</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>in which it has purchased the Participation. As a result, the Funds will</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>assume the credit risk of both the borrower and the lender that is selling</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the Participation. The Funds&#8217; investment in loan participation interests</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>involves the risk of insolvency of the financial intermediaries who are</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>parties to the transactions. In the event of the insolvency of the lender</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>selling the Participation, the Funds may be treated as general creditors</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of the lender and may not benefit from any offset between the lender</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and the borrower. Assignments typically result in the Funds having a direct</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>contractual relationship with the borrower, and the Funds may enforce</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>compliance by the borrower with the terms of the loan agreement.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Forward Commitments and When-Issued Delayed Delivery Securities:</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Certain Funds may purchase securities on a when-issued basis and may</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>purchase or sell securities on a forward commitment basis. Settlement of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>such transactions normally occurs within a month or more after the pur-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>chase or sale commitment is made. The Funds may purchase securities</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>under such conditions with the intention of actually acquiring them, but</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>may enter into a separate agreement to sell the securities before the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>settlement date. Since the value of securities purchased may fluctuate</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>prior to settlement, the Funds may be required to pay more at settlement</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>than the security is worth. In addition, the Funds are not entitled to any of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the interest earned prior to settlement. When purchasing a security on a</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>delayed delivery basis, the Funds assume the rights and risks of ownership</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of the security, including the risk of price and yield fluctuations. In the event</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of default by the counterparty, the Funds&#8217; maximum amount of loss is the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>unrealized appreciation of unsettled when-issued transactions, which is</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>shown in the Schedules of Investments.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>TBA Commitments: </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Certain Funds may enter into TBA commitments. TBA</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>commitments are forward agreements for the purchase or sale of mort-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>gage-backed securities for a fixed price, with payment and delivery on an</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>agreed upon future settlement date. The specific securities to be delivered</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>are not identified at the trade date; however, delivered securities must<BR></FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>meet specified terms, including issuer, rate and mortgage terms. The Funds</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>generally enter into TBA commitments with the intent to take possession</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of or deliver the underlying mortgage-backed securities but can extend the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>settlement or roll the transaction. TBA commitments involve a risk of loss</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>if the value of the security to be purchased or sold declines or increases,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>respectively, prior to settlement date.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Mortgage Dollar Roll Transactions: </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Certain Funds may sell TBA mortgage-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>backed securities and simultaneously contract to repurchase substantially</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>similar (same type, coupon and maturity) securities on a specific future</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>date at an agreed upon price. During the period between the sale and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>repurchase, the Funds will not be entitled to receive interest and principal</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>payments on the securities sold. The Funds account for mortgage dollar</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>roll transactions as purchases and sales and realize gains and losses on</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>these transactions. These transactions may increase the Funds&#8217; portfolio</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>turnover rate. Mortgage dollar rolls involve the risk that the market value of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the securities that the Funds are required to purchase may decline below</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the agreed upon repurchase price of those securities.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Reverse Repurchase Agreements: </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Certain Funds may enter into reverse</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>repurchase agreements with qualified third party broker-dealers. In a</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>reverse repurchase agreement, the Funds sell securities to a bank or bro-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ker-dealer and agree to repurchase the same securities at a mutually</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>agreed upon date and price. Certain agreements have no stated maturity</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and can be terminated by either party at any time. Interest on the value of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the reverse repurchase agreements issued and outstanding is based upon</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>competitive market rates determined at the time of issuance. The Funds</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>may utilize reverse repurchase agreements when it is anticipated that the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>interest income to be earned from the investment of the proceeds of the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>transaction is greater than the interest expense of the transaction. Reverse</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>repurchase agreements involve leverage risk and also the risk that the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>market value of the securities that the Funds are obligated to repurchase</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>under the agreement may decline below the repurchase price. In the event</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the buyer of securities under a reverse repurchase agreement files for</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>bankruptcy or becomes insolvent, the Funds&#8217; use of the proceeds of the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>agreement may be restricted while the other party, or its trustee or receiver,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>determines whether or not to enforce the Funds&#8217; obligation to repurchase</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the securities.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Segregation and Collateralization: </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>In cases in which the 1940 Act and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the interpretive positions of the Securities and Exchange Commission</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(&#8220;SEC&#8221;) require that the Funds either deliver collateral or segregate assets</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>in connection with certain investments (e.g., dollar rolls, TBA sale commit-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ments, financial futures contracts, foreign currency exchange contracts and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>swaps), or certain borrowings (e.g., reverse repurchase agreements and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>loans payable), the Funds will, consistent with SEC rules and/or certain</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>interpretive letters issued by the SEC, segregate collateral or designate on</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>their books and records cash or liquid securities having a market value at</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>least equal to the amount that would otherwise be required to be physi-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>cally segregated. Furthermore, based on requirements and agreements</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>with certain exchanges and third party broker-dealers, each party to such</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>transactions has requirements to deliver/deposit securities as collateral for</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>certain investments.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 55</FONT></P>

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<FONT color="#394c87" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Notes to Financial Statements (continued)</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Investment Transactions and Investment Income: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">For financial reporting</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">purposes, investment transactions are recorded on the dates the trans-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">actions are entered into (the trade dates). Realized gains and losses</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">on investment transactions are determined on the identified cost basis.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Dividend income is recorded on the ex-dividend dates. Dividends from</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">foreign securities where the ex-dividend date may have passed are</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">subsequently recorded when the Funds are informed of the ex-dividend</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">date. Upon notification from issuers, some of the dividend income</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">received from a real estate investment trust may be redesignated as a</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">reduction of cost of the related investment and/or realized gain. Interest</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">income, including amortization and accretion of premiums and discounts</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">on debt securities, is recognized on the accrual basis. Consent fees are</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">compensation for agreeing to changes in the terms of debt instruments</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and are included in interest income in the Statements of Operations.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Dividends and Distributions: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Dividends from net investment income are</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">declared and paid monthly. Distributions of capital gains are recorded on</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the ex-dividend dates. If the total dividends and distributions made in any</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tax year exceeds net investment income and accumulated realized capital</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">gains, a portion of the total distribution may be treated as a tax return of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">capital. The amount and timing of dividends and distributions are deter-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">mined in accordance with federal income tax regulations, which may differ</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">from US GAAP.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Income Taxes: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">It is each Fund&#146;s policy to comply with the requirements of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the Internal Revenue Code of 1986, as amended, applicable to regulated</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">investment companies and to distribute substantially all of its taxable</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">income to its shareholders. Therefore, no federal income tax provision</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">is required.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Each Fund files US federal and various state and local tax returns. No</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">income tax returns are currently under examination. The statute of limita-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tions on the Funds&#146; US federal tax returns remains open for each of the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">three years ended August 31, 2011 and the period ended August 31,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">2008 for BHL, the four years ended August 31, 2011 for DVF and FRA</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and for the three years ended August 31, 2011 and the period ended</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">August 31, 2008 for BLW. The statutes of limitations on the Funds&#146; state</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and local tax returns may remain open for an additional year depending</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">upon the jurisdiction. Management does not believe there are any</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">uncertain tax positions that require recognition of a tax liability.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">DVF, FRA and BLW have wholly owned taxable subsidiaries organized as a</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">limited liability companies (the &#147;Taxable Subsidiaries&#148;) which are listed in</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the Schedules of Investments. The Taxable Subsidiaries enable a Fund to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">hold an investment that is organized as an operating partnership while still</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">satisfying Regulated Investment Company tax requirements. Income earned</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">on the investments held by the Taxable Subsidiaries is taxable to such</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">subsidiaries. An income tax provision for all income, including realized and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">unrealized gains, if any, of the Taxable Subsidiaries is reflected in the value</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">of the Taxable Subsidiaries.</FONT></P>
<P style="text-align: left;">
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Recent Accounting Standard: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">In May 2011, the Financial Accounting</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Standards Board issued amended guidance to improve disclosure about</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">fair value measurements which will require the following disclosures for</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">fair value measurements categorized as Level 3: quantitative information</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">about the unobservable inputs and assumptions used in the fair value</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">measurement, a description of the valuation policies and procedures and</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">a narrative description of the sensitivity of the fair value measurement to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">changes in unobservable inputs and the interrelationships between those</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">unobservable inputs. In addition, the amounts and reasons for all transfers</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">in and out of Level 1 and Level 2 will be required to be disclosed. The</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">amended guidance is effective for financial statements for fiscal years</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">beginning after December 15, 2011, and interim periods within those fiscal</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">years. Management is evaluating the impact of this guidance on the Funds&#146;</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">financial statements and disclosures.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Deferred Compensation and BlackRock Closed-End Share Equivalent</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Investment Plan: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Under the deferred compensation plan approved by each</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund&#146;s Board, independent Directors (&#147;Independent Directors&#148;) may defer</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">a portion of their annual complex-wide compensation. Deferred amounts</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">earn an approximate return as though equivalent dollar amounts had been</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">invested in common shares of certain other BlackRock Closed-End Funds</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">selected by the Independent Directors. This has approximately the same</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">economic effect for the Independent Directors as if the Independent</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Directors had invested the deferred amounts directly in certain other</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">BlackRock Closed-End Funds.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The deferred compensation plan is not funded and obligations there-under</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">represent general unsecured claims against the general assets of each</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Fund. Each Fund may, however, elect to invest in common shares of certain</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">other BlackRock Closed-End Funds selected by the Independent Directors</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">in order to match its deferred compensation obligations. Investments to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">cover each Fund&#146;s deferred compensation liability, if any, are included in</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">other assets in the Statements of Assets and Liabilities. Dividends and dis-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tributions from the BlackRock Closed-End Fund investments under the plan</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">are included in dividends &#151; affiliated in the Statements of Operations.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">Other: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Expenses directly related to a Fund are charged to that Fund. Other</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">operating expenses shared by several funds are pro rated among those</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">funds on the basis of relative net assets or other appropriate methods.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Funds have an arrangement with the custodians whereby fees may</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">be reduced by credits earned on uninvested cash balances, which, if</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">applicable, are shown as fees paid indirectly in the Statements of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Operations. The custodians impose fees on overdrawn cash balances,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">which can be offset by accumulated credits earned or may result in</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">additional custody charges.</FONT></P>
<P style="text-align: left;">
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">56 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Notes to Financial Statements (continued)</FONT><BR><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=2>2. Derivative Financial Instruments:</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Funds engage in various portfolio investment strategies using derivative</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>contracts both to increase the returns of the Funds and to economically</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>hedge, or protect, their exposure to certain risks such as credit risk, interest</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>rate risk or foreign currency exchange rate risk. These contracts may be</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>transacted on an exchange or OTC.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Losses may arise if the value of the contract decreases due to an unfavor-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>able change in the market rates or values of the underlying instrument</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>or if the counterparty does not perform under the contract. The Funds&#8217;</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>maximum risk of loss from counterparty credit risk on OTC derivatives</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>is generally the aggregate unrealized gain netted against any collateral</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>pledged by/posted to the counterparty. For OTC options purchased, the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Funds bear the risk of loss in the amount of the premiums paid plus</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the positive change in market values net of any collateral received on</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the options should the counterparty fail to perform under the contracts.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Options written by the Funds do not give rise to counterparty credit risk,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>as options written obligate the Funds to perform and not the counterparty.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Counterparty risk related to exchange-traded financial futures contracts</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and options is deemed to be minimal due to the protection against</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>defaults provided by the exchange on which these contracts trade.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Funds may mitigate counterparty risk by procuring collateral and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>through netting provisions included within an International Swaps and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Derivatives Association, Inc. master agreement (&#8220;ISDA Master Agreement&#8221;)</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>implemented between a Fund and each of its respective counterparties.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The ISDA Master Agreement allows each Fund to offset with each separate</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>counterparty certain derivative financial instrument&#8217;s payables and/or</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>receivables with collateral held. The amount of collateral moved to/from</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>applicable counterparties is generally based upon minimum transfer</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>amounts of up to $500,000. To the extent amounts due to the Funds from</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>their counterparties are not fully collateralized contractually or otherwise,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the Funds bear the risk of loss from counterparty non-performance. See</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Note 1 &#8220;Segregation and Collateralization&#8221; for information with respect to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>collateral practices. In addition, the Funds manage counterparty risk by</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>entering into agreements only with counterparties that they believe have</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the financial resources to honor their obligations and by monitoring the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>financial stability of those counterparties.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Certain ISDA Master Agreements allow counterparties to OTC derivatives to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>terminate derivative contracts prior to maturity in the event the Funds&#8217; net</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>assets decline by a stated percentage or the Funds fail to meet the terms</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of their ISDA Master Agreements, which would cause the Funds to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>accelerate payment of any net liability owed to the counterparty.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Financial Futures Contracts: </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Funds purchase or sell financial futures</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>contracts and options on financial futures contracts to gain exposure to,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>or economically hedge against, changes in interest rates (interest rate risk).</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Financial futures contracts are agreements between the Funds and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>counterparty to buy or sell a specific quantity of an underlying instrument</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>at a specified price and at a specified date. Depending on the terms of<BR></FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the particular contract, futures contracts are settled either through physical</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>delivery of the underlying instrument on the settlement date or by payment</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of a cash settlement amount on the settlement date. Pursuant to the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>contract, the Funds agree to receive from or pay to the broker an amount</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of cash equal to the daily fluctuation in value of the contract. Such receipts</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>or payments are known as margin variation and are recorded by the Funds</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>as unrealized appreciation or depreciation. When the contract is closed,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the Funds record a realized gain or loss equal to the difference between</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the value of the contract at the time it was opened and the value at the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>time it was closed. The use of financial futures contracts involves the risk of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>an imperfect correlation in the movements in the price of financial futures</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>contracts, interest rates and the underlying assets.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Foreign Currency Exchange Contracts: </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Funds enter into foreign</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>currency exchange contracts as an economic hedge against either specific</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>transactions or portfolio instruments or to obtain exposure to foreign cur-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>rencies (foreign currency exchange rate risk). A foreign currency exchange</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>contract is an agreement between two parties to buy and sell a currency at</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>a set exchange rate on a future date. Foreign currency exchange contracts,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>when used by the Funds, help to manage the overall exposure to the cur-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>rencies, in which some of the investments held by the Funds are denomi-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>nated. The contract is marked-to-market daily and the change in market</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>value is recorded by the Funds as an unrealized gain or loss. When the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>contract is closed, the Funds record a realized gain or loss equal to the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>difference between the value at the time it was opened and the value at</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the time it was closed. The use of foreign currency exchange contracts</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>involves the risk that the value of a foreign currency exchange contract</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>changes unfavorably due to movements in the value of the referenced</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>foreign currencies and the risk that a counterparty to the contract does</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>not perform its obligations under the agreement.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Options: </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Funds purchase and write call and put options to increase</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>or decrease their exposure to underlying instruments (interest rate risk)</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and/or, in the case of options written, to generate gains from options</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>premiums. A call option gives the purchaser of the option the right (but not</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the obligation) to buy, and obligates the seller to sell (when the option is</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>exercised), the underlying instrument at the exercise price or strike price at</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>any time or at a specified time during the option period. A put option gives</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the holder the right to sell and obligates the writer to buy the underlying</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>instrument at the exercise price or strike price at any time or at a specified</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>time during the option period. When the Funds purchase (write) an option,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>an amount equal to the premium paid (received) by the Funds is reflected</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>as an asset (liability). The amount of the asset (liability) is subsequently</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>marked-to-market to reflect the current market value of the option pur-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>chased (written). When an instrument is purchased or sold through an</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>exercise of an option, the related premium paid (or received) is added to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(or deducted from) the basis of the instrument acquired or deducted from</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(or added to) the proceeds of the instrument sold. When an option expires</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(or the Funds enter into a closing transaction), the Funds realize a gain</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>or loss on the option to the extent of the premiums received or paid (or</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>gain or loss to the extent the cost of the closing transaction exceeds the</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 57</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Notes to Financial Statements (continued)</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>premiums received or paid). When the Funds write a call option, such</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>option is &#8220;covered,&#8221; meaning that the Funds hold the underlying instrument</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>subject to being called by the option counterparty. When the Funds write a</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>put option, such option is covered by cash in an amount sufficient to cover</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the obligation.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>In purchasing and writing options, the Funds bear the risk of an unfavor-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>able change in the value of the underlying instrument or the risk that the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Funds may not be able to enter into a closing transaction due to an illiquid</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>market. Exercise of a written option could result in the Funds purchasing or</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>selling a security at a price different from the current market value.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Swaps: </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Funds enter into swap agreements, in which the Funds and a</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>counterparty agree to make periodic net payments on a specified notional</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>amount. These periodic payments received or made by the Funds are</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>recorded in the Statements of Operations as realized gains or losses,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>respectively. Any upfront fees paid are recorded as assets and any upfront</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>fees received are recorded as liabilities and amortized over the term</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of the swap. Swaps are marked-to-market daily and changes in value are</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>recorded as unrealized appreciation (depreciation). When the swap is</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>terminated, the Funds will record a realized gain or loss equal to the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>difference between the proceeds from (or cost of) the closing transaction</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and the Funds&#8217; basis in the contract, if any. Generally, the basis of the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>contracts is the premium received or paid. Swap transactions involve, to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>varying degrees, elements of interest rate, credit and market risk in excess</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of the amounts recognized in the Statements of Assets and Liabilities.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Such risks involve the possibility that there will be no liquid market for</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>these agreements, that the counterparty to the agreements may default on</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>its obligation to perform or disagree as to the meaning of the contractual</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>terms in the agreements, and that there may be unfavorable changes in</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>interest rates and/or market values associated with these transactions.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=Frutiger-Roman,Arial,Helvetica,sans-serif color=#231f20 size=2>&#8226; </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Credit default swaps &#8212; The Funds enter into credit default swaps to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>manage their exposure to the market or certain sectors of the market,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>to reduce its risk exposure to defaults of corporate and/or sovereign</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>issuers or to create exposure to corporate and/or sovereign issuers to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>which they are not otherwise exposed (credit risk). The Funds enter into</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>credit default swap agreements to provide a measure of protection</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>against the default of an issuer (as buyer of protection) and/or gain</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>credit exposure to an issuer to which it is not otherwise exposed (as</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>seller of protection). The Funds may either buy or sell (write) credit</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>default swaps on single-name issuers (corporate or sovereign), a</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>combination or basket of single-name issuers or traded indexes.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Credit default swaps on single-name issuers are agreements in which</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the buyer pays fixed periodic payments to the seller in consideration</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>for a guarantee from the seller to make a specific payment should a</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>negative credit event take place with respect to the referenced entity</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(e.g., bankruptcy, failure to pay, obligation accelerators, repudiation,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>moratorium or restructuring). Credit default swaps on traded indexes</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>are agreements in which the buyer pays fixed periodic payments to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the seller in consideration for a guarantee from the seller to make a</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>specific payment should a write-down, principal or interest shortfall or</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>default of all or individual underlying securities included in the index</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>occurs. As a buyer, if an underlying credit event occurs, the Funds will</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>either receive from the seller an amount equal to the notional amount</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of the swap and deliver the referenced security or underlying securities</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>comprising the index or receive a net settlement of cash equal to the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>notional amount of the swap less the recovery value of the security or</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>underlying securities comprising the index. As a seller (writer), if an</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>underlying credit event occurs, the Funds will either pay the buyer an</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>amount equal to the notional amount of the swap and take delivery</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of the referenced security or underlying securities comprising the index</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>or pay a net settlement of cash equal to the notional amount of the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>swap less the recovery value of the security or underlying securities</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>comprising the index.</FONT></P>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Derivative Financial Instruments Categorized by Risk Exposure:</FONT>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle colSpan=3><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fair Values of Derivative Financial Instruments as of August 31, 2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Asset Derivatives</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BHL</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BLW</FONT>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Statements of Assets</FONT>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>and Liabilities Location</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 colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interest rate contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 13px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net unrealized appreciation/</FONT>&nbsp;</TD>

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   <TD align=left colSpan=8><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;depreciation*; Investments at</FONT></TD></TR>

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   <TD style="TEXT-INDENT: 13px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>value &#8212; unaffiliated</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 163,069</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Foreign currency exchange contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 13px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unrealized appreciation on foreign</FONT>&nbsp;</TD>

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   <TD style="TEXT-INDENT: 13px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>currency exchange contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 6,145</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 5,404</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 14,636</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,050</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 13px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unrealized appreciation on swaps;</FONT>&nbsp;</TD>

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   <TD style="TEXT-INDENT: 13px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Investments at value &#8212; unaffiliated</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>442,674</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 6,145</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 5,404</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 14,636</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 607,793</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>* Includes cumulative appreciation/depreciation on financial futures contracts as reported in the Schedules of Investments. Only current day&#8217;s margin variation is reported within the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Statements of Assets and Liabilities.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>58 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Notes to Financial Statements (continued)</FONT></P>

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   <TD style="TEXT-INDENT: 8px; BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Liability Derivatives</FONT>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BHL</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BLW</FONT>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Statements of Assets</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD align=left>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>and Liabilities Location</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value</FONT>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Foreign currency exchange contracts</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unrealized depreciation on foreign</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>currency exchange contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 32,056</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 27,935</FONT>&nbsp;</TD>

   <TD align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 72,186</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 557,808</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit contracts</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unrealized depreciation on swaps;</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Options written at value</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>673,454</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 32,056</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 27,935</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 72,186</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$1,231,262</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="25%"></TD>

   <TD width="46%"></TD>

   <TD width="9%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The Effect of Derivative Financial Instruments in the Statements of Operations</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Year Ended August 31, 2011</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 style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=3><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net Realized Gain (Loss) from</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BHL&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BLW</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interest rate contracts:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Financial futures contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (730,556)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Options**</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(21,025)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Foreign currency exchange contracts:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Foreign currency exchange contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (1,200,556)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (858,489)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$(1,693,285)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(3,102,124)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit contracts:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Swaps</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(10,913)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(72,270)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (1,200,556)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (869,402)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$(1,693,285)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (3,925,975)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="42%"></TD>

   <TD width="31%"></TD>

   <TD width="6%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px; BORDER-BOTTOM: #000000 1px solid" align=middle colSpan=4><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net Change in Unrealized Appreciation/Depreciation on</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BHL&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 4px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BLW</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interest rate contracts:</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: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Financial futures contracts</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 343,883</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Options**</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>65,209</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Foreign currency exchange contracts:</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: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Foreign currency exchange contracts</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (25,433) $</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(8,192)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (9,827)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>141,387</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit contracts:</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: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Options**</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(149,589)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Swaps</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 10px; BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>21,480</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,980</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (25,433) $</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>13,288</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (9,827)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 407,870</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=right colSpan=4><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>** Options purchased are included in the net realized gain (loss) from investments and net change in unrealized appreciation/depreciation on investments.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 59</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_61"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Notes to Financial Statements (continued)</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>For the year ended August 31, 2011, the average quarterly balances of outstanding derivative financial instruments were as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="48%"></TD>

   <TD width="23%"></TD>

   <TD width="9%"></TD>

   <TD width="9%"></TD>

   <TD width="8%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BHL&nbsp;&nbsp;&nbsp;&nbsp;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BLW</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Financial futures contracts:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average number of contracts purchased</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>46</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average number of contracts sold</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>64</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average notional value of contracts purchased</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$11,349,689</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average notional value of contracts sold</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$12,492,610</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Foreign currency exchange contracts:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average number of contracts-US dollars purchased</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>5</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average number of contracts-US dollars sold</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average US dollar amounts purchased</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$10,435,836</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$10,007,124</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$18,601,855</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$46,511,310</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average US dollar amounts sold</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 549,322</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 651,650</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 2,041,051</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 806,249</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Options:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average number of option contracts purchased</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>13</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>20</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>46</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average notional value of option contracts purchased</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 12,257</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 18,857</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 43,372</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average number of swaption contracts purchased</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average number of swaption contracts written</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average notional value of swaption contracts purchased</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 3,700,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average notional value of swaption contracts written</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$11,250,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Credit default swaps:</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average number of contracts-buy protection</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average number of contracts-sell protection</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average notional value-buy protection</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 4,475,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average notional value-sell protection</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 75,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 2,350,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=2>3. Investment Advisory Agreement and Other Transactions</FONT><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=2>with Affiliates:</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The PNC Financial Services Group, Inc. ("PNC") and Barclays Bank PLC</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>("Barclays") are the largest stockholders of BlackRock, Inc. ("BlackRock").</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Due to the ownership structure, PNC is an affiliate for 1940 Act purposes,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>but Barclays is not.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Each Fund entered into an Investment Advisory Agreement with BlackRock</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Advisors, LLC (the &#8220;Manager&#8221;), the Funds' investment advisor, an indirect,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>wholly owned subsidiary of BlackRock, to provide investment advisory and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>administration services. The Manager is responsible for the management</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of each Fund's portfolio and provides the necessary personnel, facilities,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>equipment and certain other services necessary to the operations of each</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Fund. For such services, each Fund pays the Manager a monthly fee based</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>on a percentage of each Fund&#8217;s average daily net assets, plus the proceeds</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of any outstanding borrowings used for leverage as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="48%"></TD>

   <TD width="51%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BHL</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.00%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.75%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.75%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BLW</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.55%</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Manager voluntarily agreed to waive its investment advisory fees by</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the amount of investment advisory fees each Fund pays to the Manager</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>indirectly through its investment in affiliated money market funds, however</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the Manager does not waive its investment advisory fees by the amount</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of investment advisory fees paid in connection with each Fund's investment</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>in other affiliated investment companies, if any. These amounts are shown</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>as, or included in, fees waived by advisor in the Statements of Operations.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>For the year ended August 31, 2011, the amounts waived were as follows:</FONT></P>

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<TR>

   <TD width="48%"></TD>

   <TD width="51%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BHL</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$1,448</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$1,551</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$2,385</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BLW</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$4,615</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Manager entered into a sub-advisory agreement with BlackRock</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Financial Management, Inc. (&#8220;BFM&#8221;), an affiliate of the Manager. The</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Manager pays BFM, for services it provides, a monthly fee that is a percent-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>age of the investment advisory fees paid by each Fund to the Manager.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>For the year ended August 31, 2011, each Fund reimbursed the Manager</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>for certain accounting services, which is included in accounting services</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>in the Statements of Operations. The reimbursements were as follows:</FONT></P>

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<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="48%"></TD>

   <TD width="51%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BHL</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 949</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$1,036</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$2,073</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BLW</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$5,013</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Effective January 1, 2011, the Funds no longer reimburse the Manager for</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>accounting services.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Certain officers and/or directors of the Funds are officers and/or directors</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of BlackRock or its affiliates. The Funds reimburse the Manager for com-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>pensation paid to the Funds&#8217; Chief Compliance Officer.</FONT><BR><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=2>4. Investments:</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Purchases and sales of investments including paydowns, mortgage dollar</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>roll transactions and TBA transactions and excluding short-term securities</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and US government securities for the year ended August 31, 2011, were</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>as follows:</FONT></P>

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<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="31%"></TD>

   <TD width="47%"></TD>

   <TD width="21%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Purchases</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Sales</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BHL</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$169,436,075</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$152,612,073</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$184,516,707</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$169,898,942</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$365,868,860</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$332,304,439</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BLW</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$949,407,046</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$862,187,801</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>60 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_62"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Notes to Financial Statements (continued)</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>For the year ended August 31, 2011, purchases and sales of US</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>government securities for BLW were $25,829,399 and $25,190,604,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>respectively.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>For the year ended August 31, 2011, purchases and sales of mortgage</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>dollar rolls for BLW were $158,340,141 and $158,868,996, respectively.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Transactions in options written for the year ended August 31, 2011 were</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="27%"></TD>

   <TD width="18%"></TD>

   <TD width="18%"></TD>

   <TD width="21%"></TD>

   <TD width="14%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Calls</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 12px; BORDER-BOTTOM: #000000 1px solid" align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Puts</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Swaptions</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Premiums</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Swaptions</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Premiums</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BLW</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Notional (000)&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;Received&nbsp;&nbsp;&nbsp;&nbsp;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Notional (000)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Received</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Outstanding options,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>beginning of year</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Options written</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,400</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$76,220</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>15,100</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$229,830</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Options closed</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Outstanding options,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>end of year</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,400</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$76,220</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>15,100</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$229,830</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=2>5. Income Tax Information:</FONT><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Reclassifications: </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>US GAAP requires that certain components of net assets be adjusted to reflect permanent differences between financial and tax</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>reporting. These reclassifications have no effect on net assets or net asset values per share. The following permanent differences as of August 31, 2011</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>attributable to the accounting for swap agreements, amortization methods on fixed income securities, foreign currency transactions, net paydown losses</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and income recognized from pass-through entities were reclassified to the following accounts:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="48%"></TD>

   <TD width="22%"></TD>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="8%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px; BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BHL&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT>&nbsp;</TD>

   <TD style="TEXT-INDENT: 6px; BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BLW&nbsp;&nbsp;&nbsp;&nbsp;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Paid-in capital</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (542)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 21,024</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 18,397</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 34,121</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Undistributed (distributions in excess of) net investment income</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (1,041,314)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (917,781)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (1,364,758)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (5,585,944)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Accumulated net realized loss</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 1,041,856</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 896,757</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 1,346,361</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 5,551,823</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The tax character of distributions paid during the fiscal years ended August 31, 2011 and August 31, 2010 was as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="31%"></TD>

   <TD width="29%"></TD>

   <TD width="9%"></TD>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="8%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BHL</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BLW</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ordinary Income</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/31/2011</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 7,140,522</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 8,509,258</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$15,965,641</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$45,830,635</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/31/2010</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,270,058</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,834,088</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>17,335,715</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>33,200,685</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Tax return of capital</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/31/2011</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>739,496</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,072,049</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/31/2010</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>666,707</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>378,219</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total distributions</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/31/2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 7,140,522</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 9,248,754</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$17,037,690</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$45,830,635</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8/31/2010</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 6,270,058</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 10,500,795</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$17,713,934</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$33,200,685</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>As of August 31, 2011, the tax components of accumulated net losses were as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="39%"></TD>

   <TD width="31%"></TD>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="8%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BHL</FONT>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BLW</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Undistributed ordinary income</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 268,093</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 4,505,393</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Capital loss carryforwards</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(3,842,154)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (85,344,140)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$(68,318,117)</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(69,388,372)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Net unrealized losses*</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(5,602,122)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(17,552,083)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(22,462,146)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(27,200,566)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (9,176,183)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$(102,896,223)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$(90,780,263) $(92,083,545)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1><BR>* The differences between book-basis and tax-basis net unrealized losses were attributable primarily to the tax deferral of losses on wash sales, amortization methods for premiums</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>and discounts on fixed income securities, the accrual of income on securities in default, the realization for tax purposes of unrealized gains/losses on certain futures and foreign</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>currency contracts, the deferral of post-October currency and capital losses for tax purposes, the timing and recognition of partnership income, the accounting for swap agreements,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>the deferral of compensation to directors and investments in wholly owned subsidiaries.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>As of August 31, 2011, the Funds had capital loss carryforwards available to offset future realized capital gains through the indicated expiration dates</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="36%"></TD>

   <TD width="34%"></TD>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="8%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Expires August 31,</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BHL&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BLW</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2013</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 691,829</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2014</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 1,755,694</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2015</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,237,399</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2016</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1,444,704</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>475,453</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 21,882,229</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2017</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>20,249,830</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>20,954,032</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,996,868</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2018</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 3,842,154</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>52,502,532</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>43,990,722</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>37,509,275</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2019</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>7,153,981</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2,206,081</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Total</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 3,842,154</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 85,344,140</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 68,318,117</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 69,388,372</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Under the recently enacted Regulated Investment Company Modernization Act of 2010, capital losses incurred by the Funds after August 31, 2011 will not</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>be subject to expiration. In addition, any such losses must be utilized prior to the losses incurred in pre-enactment taxable years.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 61</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_63"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Notes to Financial Statements (continued)</FONT><BR><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=2>6. Borrowings:</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>On March 4, 2010, BHL, DVF and FRA entered into a senior committed</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>secured, 364-day revolving line of credit and a separate security agreement</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(the &#8220;SSB Agreement&#8221;) with State Street Bank and Trust Company (&#8220;SSB&#8221;).</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Funds have granted a security interest in substantially all of their</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>assets to SSB. The SSB Agreement allowed for the following maximum</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>commitment amounts:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="43%"></TD>

   <TD width="56%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Commitment</FONT>&nbsp;</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Amounts</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BHL</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 55,000,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 55,000,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$103,000,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Advances were made by SSB to the Funds, at the Funds&#8217; option of (a)</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the higher of (i) 1.0% above the Fed Funds rate or (ii) 1.0% above</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the Overnight LIBOR or (b) 1.0% above the 7-day, 30-day, 60-day or</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>90-day LIBOR.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Effective March 3, 2011, the SSB Agreement was renewed for 364</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>days. The SSB Agreement allows for the following maximum commitment</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>amounts:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="43%"></TD>

   <TD width="56%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Commitment</FONT>&nbsp;</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Amounts</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BHL</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 63,300,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 66,800,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$137,200,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Advances are made by SSB to the Funds at the Funds&#8217; option of (a) the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>higher of (i) 0.80% above the Fed Funds rate or (ii) 0.80% above the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Overnight LIBOR or (b) 0.80% above the 7-day, 30-day, 60-day or 90-day</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>LIBOR. In addition, the Funds pay a facility fee and a commitment fee</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>based on SSB&#8217;s total commitment to the Funds. The fees associated with</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>each of the agreements are included in the Statements of Operations as</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>borrowing costs. Advances to the Funds as of August 31, 2011 are shown</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>in the Statements of Assets and Liabilities as loan payable.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Funds may not declare dividends or make other distributions on shares</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>or purchase any such shares if, at the time of the declaration, distribution</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>or purchase, asset coverage with respect to the outstanding short-term</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>borrowings is less than 300%.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>During the year ended August 31, 2011, BLW borrowed under the Term</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Asset-Backed Securities Loan Facility (&#8220;TALF&#8221;). The TALF program was</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>launched by the US Department of Treasury and the Federal Reserve</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Board as a credit facility designed to restore liquidity to the market for</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>asset-backed securities. The Federal Reserve Bank of New York (&#8220;FRBNY&#8221;)</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>provided up to $1 trillion in non-recourse loans to support the issuance</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of certain AAA-rated asset-backed securities and commercial mortgage-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>backed securities (&#8220;Eligible Securities&#8221;). The Fund posted as collateral</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>already-held Eligible Securities, which were all commercial mortgage-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>backed securities, in return for non-recourse, 5-year term loans (&#8220;TALF</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>loans&#8221;) in an amount equal to approximately 85% of the value of such</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Eligible Securities.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The non-recourse provision of the TALF loans allowed the Fund to satisfy</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>loan obligations with Eligible Securities, subject to certain conditions, even</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>if the value of the Eligible Securities falls below the outstanding amount of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the loan. The Fund was able to repay TALF loans prior to the maturity dates</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>with no penalty. Principal and interest due on the loans will typically be</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>paid with principal paydowns and interest received from the Eligible</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Securities. Credit agreements underlying each loan contain provisions to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>address instances in which interest payments on Eligible Securities fall</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>short of amounts due to the FRBNY. The Fund paid to the FRBNY a one</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>time administration fee of 0.20% of the amount borrowed. The Fund also</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>paid a financing fee equal to the 5-year LIBOR swap rate plus 1.00% on</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the outstanding loan amount payable monthly, which is included in interest</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>expense in the Statements of Operations.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>During the year ended August 31, 2011, the Fund repaid its outstanding</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>TALF loans and the Eligible Securities posted as collateral were returned to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the Fund. The Fund financed the repayment of the TALF loans by entering</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>into reverse repurchase agreements.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Since the Fund had the ability to potentially satisfy TALF loan obligations</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>by surrendering Eligible Securities, potential losses by the Fund associated</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>with the TALF loans were limited to the difference between the amount</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of Eligible Securities posted at the time of loan initiation and the loan</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>proceeds received by the Fund.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Fund elected to account for the outstanding TALF loans at fair value.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Fund elected to fair value its TALF loans to more closely align changes</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>in the value of the TALF loans with changes in the value of the Eligible</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Securities and to reduce the potential volatility in the Statements of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Operations which could result if only the Eligible Securities were fair</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>valued. The TALF loans were valued utilizing quotations received from a</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>board approved pricing service. TALF-eligible Asset-Backed Securities/</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Collateralized Mortgage-Backed Securities (&#8220;ABS/CMBS&#8221;) value may be</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>affected by historic defaults and prepayments on the asset pool, expected</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>future defaults and prepayments, current interest rate levels, current and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>forward modeled ABS/CMBS spread levels. Accordingly, TALF loan valuation</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>methodologies may include, but are not limited to, the following inputs:</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(i) ABS/CMBS prepayment assumptions, (ii) discount rates and (iii) the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>non-recourse put option valuation. The resulting TALF loan valuation com-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>bines the present value of the future loan cash flows, plus the value of the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>nonrecourse option. The change in unrealized gain or loss associated with</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>fair valuing the TALF loans is reflected in the Statements of Operations.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>For the year ended August 31, 2011, the daily weighted average interest</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>rate for BLW with borrowings from reverse repurchase agreements and TALF</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>loans was as follows:</FONT></P>

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   <TD width="56%"></TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Daily Weighted</FONT>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interest Rate</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BLW</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0.44%</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>62 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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<!--$$/page=--><A name="page_64"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Notes to Financial Statements (concluded)</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>For the year ended August 31, 2011, the daily weighted average interest</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>rates for Funds with loans under the revolving credit agreements were</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>as follows:</FONT></P>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Daily Weighted</FONT>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Average</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interest Rate</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BHL</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.07%</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.06%</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1.07%</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=2>7. Commitments:</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Funds may invest in floating rate loan interests. In connection with</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>these investments, the Funds may also enter into unfunded floating rate</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>loan interests (&#8220;commitments&#8221;). Commitments may obligate the Funds to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>furnish temporary financing to a borrower until permanent financing can</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>be arranged. In connection with these commitments, the Funds earn a</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>commitment fee, typically set as a percentage of the commitment amount.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Such fee income, which is classified in the Statements of Operations as</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>facility and other fees, is recognized ratably over the commitment period.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Unfunded floating rate loan interests are marked-to-market daily, and any</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>unrealized appreciation or depreciation is included in the Statements of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Assets and Liabilities and Statements of Operations.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>As of August 31, 2011, the Funds had the following unfunded floating rate</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>loan interests:</FONT></P>

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   <TD width="23%"></TD>

   <TD width="19%"></TD>

   <TD width="17%"></TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Value of</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unfunded</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Underlying</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Floating Rate</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Floating Rate</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Unrealized</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Borrower</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Loan Interest&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; Loan Interest</FONT>&nbsp; </TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Depreciation</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BHL</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>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Horizon Lines, LLC</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 52,582</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 52,123</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (459)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Reynolds Group Holdings, Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$1,188,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$1,149,756</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (38,244)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Horizon Lines, LLC</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 52,582</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 52,138</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (444)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Reynolds Group Holdings, Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$1,386,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$1,341,382</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (44,618)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Horizon Lines, LLC</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 105,164</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ 104,280</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (884)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Reynolds Group Holdings, Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$2,376,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$2,299,512</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$ (76,488)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BLW</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Reynolds Group Holdings, Inc.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$3,465,013</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$3,353,455</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$(111,558)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=2>8. Concentration, Market and Credit Risk:</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>In the normal course of business, the Funds invest in securities and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>enter into transactions where risks exist due to fluctuations in the market</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(market risk) or failure of the issuer of a security to meet all its obligations</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(issuer credit risk). The value of securities held by the Funds may decline</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>in response to certain events, including those directly involving the issuers</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>whose securities are owned by the Funds; conditions affecting the general</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>economy; overall market changes; local, regional or global political, social</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>or economic instability; and currency and interest rate and price fluctua-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>tions. Similar to issuer credit risk, the Funds may be exposed to counterparty</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>credit risk, or the risk that an entity with which the Funds have unsettled or</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>open transactions may fail to or be unable to perform on its commitments.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Funds manage counterparty credit risk by entering into transactions</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>only with counterparties that they believe have the financial resources to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>honor their obligations and by monitoring the financial stability of those</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>counterparties. Financial assets, which potentially expose the Funds to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>market, issuer and counterparty credit risks, consist principally of financial</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>instruments and receivables due from counterparties. The extent of the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Funds' exposure to market, issuer and counterparty credit risks with respect</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>to these financial assets is generally approximated by their value recorded</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>in the Funds' Statements of Assets and Liabilities, less any collateral held</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>by the Funds.<BR></FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Funds invest a significant portion of their assets in securities backed</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>by commercial or residential mortgage loans or in issuers that hold mort-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>gage and other asset-backed securities. Please see the Schedules of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Investments for these securities. Changes in economic conditions, including</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>delinquencies and/or defaults on assets underlying these securities, can</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>affect the value, income and/or liquidity of such positions.</FONT><BR><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=2>9. Capital Share Transactions:</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>BHL and BLW are authorized to issue an unlimited number of shares, par</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>value $0.001, all of which were initially classified as Common Shares. DVF</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and FRA are authorized to issue 200 million shares, par value $0.10, all of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>which were initially classified as Common Shares. The Board is authorized,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>however, to classify and reclassify any unissued shares without approval of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Common Shareholders.<BR></FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>For the years shown, shares issued and outstanding increased by the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>following amounts as a result of dividend reinvestment:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="28%"></TD>

   <TD width="47%"></TD>

   <TD width="23%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Year Ended</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Year Ended</FONT>&nbsp;</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>August 31, 2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>August 31, 2010</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BHL</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>18,402</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>42,239</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>52,693</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>58,212</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>72,267</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BLW</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>30,417</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>&#8212;</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>At August 31, 2011, the shares owned by affiliates of the Manager of the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Funds were as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="48%"></TD>

   <TD width="51%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BHL</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,517</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>9,017</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=2>10. Subsequent Events:</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Management's evaluation of the impact of all subsequent events on the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Funds' financial statements was completed through the date the financial</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>statements were issued and the following item was noted:</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Funds paid a net investment income dividend in the following</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>amounts per share on September 30, 2011 to shareholders of record</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>on September 15, 2011:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="41%"></TD>

   <TD width="58%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Common Dividend</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Per Share</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BHL</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$0.0660</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$0.0585</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$0.0770</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BLW</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>$0.1025</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 63</FONT></P>

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<!--$$/page=--><A name="page_65"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Report of Independent Registered Public Accounting Firm</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=2>To the Shareholders and Board of Directors of BlackRock</FONT><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=2>Diversified Income Strategies Fund, Inc. and BlackRock</FONT><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=2>Floating Rate Income Strategies Fund, Inc. and to the</FONT><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=2>Shareholders and Board of Trustees of BlackRock Defined</FONT><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=2>Opportunity Credit Trust and BlackRock Limited Duration</FONT><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=2>Income Trust:</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>We have audited the accompanying statements of assets and liabilities of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>BlackRock Defined Opportunity Credit Trust, BlackRock Diversified Income</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Strategies Fund, Inc., BlackRock Floating Rate Income Strategies Fund, Inc.,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and BlackRock Limited Duration Income Trust (collectively the &#8220;Funds&#8221;),</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>including the schedules of investments, as of August 31, 2011, and the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>related statements of operations and cash flows for the year then ended,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the statements of changes in net assets for each of the two years in the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>period then ended, and the financial highlights for each of the periods</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>presented. These financial statements and financial highlights are the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>responsibility of the Funds&#8217; management. Our responsibility is to express</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>an opinion on these financial statements and financial highlights based</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>on our audits.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>We conducted our audits in accordance with the standards of the Public</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Company Accounting Oversight Board (United States). Those standards</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>require that we plan and perform the audit to obtain reasonable assurance</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>about whether the financial statements and financial highlights are free of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>material misstatement. The Funds are not required to have, nor were we</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>engaged to perform an audit of their internal control over financial report-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ing. Our audits included consideration of internal control over financial</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>reporting as a basis for designing audit procedures that are appropriate<BR></FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>in the circumstances, but not for the purpose of expressing an opinion</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>on the effectiveness of the Funds&#8217; internal control over financial reporting.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Accordingly, we express no such opinion. An audit also includes examining,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>on a test basis, evidence supporting the amounts and disclosures in the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>financial statements, assessing the accounting principles used and signifi-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>cant estimates made by management, as well as evaluating the overall</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>financial statement presentation. Our procedures included confirmation</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of securities owned as of August 31, 2011, by correspondence with the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>custodians, brokers and agent banks; where replies were not received</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>from brokers or agent banks, we performed other auditing procedures.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>We believe that our audits provide a reasonable basis for our opinion.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>In our opinion, the financial statements and financial highlights referred</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>to above present fairly, in all material respects, the financial positions of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>BlackRock Defined Opportunity Credit Trust, BlackRock Diversified Income</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Strategies Fund, Inc., BlackRock Floating Rate Income Strategies Fund, Inc.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and BlackRock Limited Duration Income Trust as of August 31, 2011, the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>results of their operations and their cash flows for the year then ended, the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>changes in their net assets for each of the two years in the period then</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ended, and the financial highlights for each of the periods presented, in</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>conformity with accounting principles generally accepted in the United</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>States of America.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Deloitte &amp; Touche LLP</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Boston, Massachusetts</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>October 28, 2011</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Important Tax Information (Unaudited)</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The following information is provided with respect to the ordinary income distributions paid by the Funds for the taxable yearended August 31, 2011.</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="47%"></TD>

   <TD width="26%"></TD>

   <TD width="10%"></TD>

   <TD width="9%"></TD>

   <TD width="6%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BHL</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BLW</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Interest-Related Dividends for Non-U.S. Residents</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>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 style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>September 2010 &#8211; October 2010</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>82.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>88.36%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>82.80%</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>87.40%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>November 2010</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>82.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>88.36%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>82.80%</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>83.58%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>December 2010 &#8211; January 2011</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>82.55%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>88.36%</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>82.80%</FONT>&nbsp;</TD>

   <TD align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>83.21%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 2px; BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>February 2011 &#8211; August 2011</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>93.30%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>83.93%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>93.13%</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>92.79%</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 4px" align=left colSpan=4><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Represents the portion of the taxable ordinary income dividends eligible for exemption from US withholding tax for nonresidentaliens and foreign corporations.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>64 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Board of Directors or Trustees, as applicable (each, a &#8220;Board,&#8221; collec-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>tively, the &#8220;Boards,&#8221; and the members of which are referred to as &#8220;Board</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Members&#8221;) of BlackRock Defined Opportunity Credit Trust (&#8220;BHL&#8221;),</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>BlackRock Diversified Income Strategies Fund, Inc. (&#8220;DVF&#8221;), BlackRock</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Floating Rate Income Strategies Fund, Inc. (&#8220;FRA&#8221;) and BlackRock Limited</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Duration Income Trust (&#8220;BLW&#8221; and together with BHL, DVF and FRA, each</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>a &#8220;Fund,&#8221; and, collectively, the &#8220;Funds&#8221;) met on April 14, 2011 and May</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>12&#8211;13, 2011 to consider the approval of each Fund&#8217;s investment advisory</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>agreement (each, an &#8220;Advisory Agreement&#8221;) with BlackRock Advisors, LLC</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(the &#8220;Manager&#8221;), each Fund&#8217;s investment advisor. The Board of each Fund</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>also considered the approval of the sub-advisory agreement (each, a &#8220;Sub-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Advisory Agreement&#8221;) between the Manager and BlackRock Financial</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Management, Inc. (the &#8220;Sub-Advisor&#8221;), with respect to each Fund. The</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Manager and the Sub-Advisor are referred to herein as &#8220;BlackRock.&#8221; The</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Advisory Agreements and the Sub-Advisory Agreements are referred to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>herein as the &#8220;Agreements.&#8221;</FONT><BR><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=2>Activities and Composition of the Board</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Each Board consists of eleven individuals, nine of whom are not &#8220;interested</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>persons&#8221; of such Fund as defined in the Investment Company Act of 1940</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(the &#8220;1940 Act&#8221;) (the &#8220;Independent Board Members&#8221;). The Board Members</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>are responsible for the oversight of the operations of the Funds and per-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>form the various duties imposed on the directors of investment companies</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>by the 1940 Act. The Independent Board Members have retained inde-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>pendent legal counsel to assist them in connection with their duties. The</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Chairman of the Board is an Independent Board Member. Each Board has</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>established five standing committees: an Audit Committee, a Governance</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and Nominating Committee, a Compliance Committee, a Performance</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Oversight Committee and an Executive Committee, each of which is</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>composed of Independent Board Members (except for the Executive</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Committee, which also has one interested Board Member) and is chaired</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>by an Independent Board Member. Each Board also established an ad</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>hoc committee, the Joint Product Pricing Committee, which consisted of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Independent Board Members and the directors/trustees of the boards of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>certain other BlackRock-managed funds, who were not &#8220;interested persons&#8221;</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of their respective funds.</FONT><BR><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=2>The Agreements</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Pursuant to the 1940 Act, the Boards are required to consider the continu-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ation of the Agreements on an annual basis. In connection with this</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>process, the Boards assessed, among other things, the nature, scope and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>quality of the services provided to the Funds by BlackRock, its personnel</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and its affiliates, including investment management, administrative and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>shareholder services, oversight of fund accounting and custody, marketing</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>services, risk oversight, compliance program and assistance in meeting</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>applicable legal and regulatory requirements.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Boards, acting directly and through their respective committees, con-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>sidered at each of their meetings, and from time to time as appropriate,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>factors that are relevant to its annual consideration of the renewal of the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Agreements, including the services and support provided by BlackRock to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the Funds and their shareholders. Among the matters the Boards consid-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ered were: (a) investment performance for one-, three- and five-year peri-<BR></FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ods, as applicable, against peer funds, and applicable benchmarks, if any,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>as well as senior management&#8217;s and portfolio managers&#8217; analysis of the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>reasons for any over performance or underperformance against their peers</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and/or benchmark, as applicable; (b) fees, including advisory and other</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>amounts paid to BlackRock and its affiliates by the Funds for services</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>such as call center and fund accounting; (c) Fund operating expenses</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and how BlackRock allocates expenses to the Funds; (d) the resources</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>devoted to, risk oversight of, and compliance reports relating to, implemen-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>tation of the Funds&#8217; investment objectives, policies and restrictions; (e) the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Funds&#8217; compliance with its Code of Ethics and other compliance policies</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and procedures; (f) the nature, cost and character of non-investment man-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>agement services provided by BlackRock and its affiliates; (g) BlackRock&#8217;s</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and other service providers&#8217; internal controls and risk and compliance</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>oversight mechanisms; (h) BlackRock&#8217;s implementation of the proxy voting</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>policies approved by the Boards; (i) execution quality of portfolio transac-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>tions; (j) BlackRock&#8217;s implementation of the Funds&#8217; valuation and liquidity</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>procedures; (k) an analysis of contractual and actual management fee</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ratios for products with similar investment objectives across the open-end</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>fund, closed-end fund and institutional account product channels, as</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>applicable; (l) BlackRock&#8217;s compensation methodology for its investment</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>professionals and the incentives it creates; and (m) periodic updates on</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>BlackRock&#8217;s business.</FONT><BR><BR><FONT face=FranklinGothic-Demi,Arial,Helvetica,sans-serif color=#231f20 size=2>Board Considerations in Approving the Agreements</FONT><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Approval Process: </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Prior to the April 14, 2011 meeting, the Boards</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>requested and received materials specifically relating to the Agreements.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Boards are engaged in a process with BlackRock to review periodically</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the nature and scope of the information provided to better assist their</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>deliberations. The materials provided in connection with the April meeting</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>included (a) information independently compiled and prepared by Lipper,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Inc. (&#8220;Lipper&#8221;) on Fund fees and expenses and the investment performance</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of the Funds as compared with a peer group of funds as determined by</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Lipper and, with respect to BHL, DVF and FRA, a customized peer group</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>selected by BlackRock (collectively, &#8220;Peers&#8221;), as well as the gross invest-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ment performance of BLW as compared with its custom benchmark; (b)</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>information on the profitability of the Agreements to BlackRock and a dis-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>cussion of fall-out benefits to BlackRock and its affiliates and significant</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>shareholders; (c) a general analysis provided by BlackRock concerning</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>investment management fees (a combination of the advisory fee and the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>administration fee, if any) charged to other clients, such as institutional</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>clients and open-end funds, under similar investment mandates, as appli-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>cable; (d) the impact of economies of scale; (e) a summary of aggregate</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>amounts paid by each Fund to BlackRock and (f) if applicable, a compari-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>son of management fees to similar BlackRock closed-end funds, as classi-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>fied by Lipper.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>At an in-person meeting held on April 14, 2011, the Boards reviewed</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>materials relating to their consideration of the Agreements. As a result of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the discussions that occurred during the April 14, 2011 meeting, and as a</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>culmination of the Boards&#8217; year-long deliberative process, the Boards pre-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>sented BlackRock with questions and requests for additional information.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>BlackRock responded to these requests with additional written information</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>in advance of the May 12-13, 2011 Board meeting.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 65</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>At an in-person meeting held on May 12&#8211;13, 2011, each Board, including</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the Independent Board Members, unanimously approved the continuation</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of the Advisory Agreement between the Manager and its Fund and the Sub-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Advisory Agreement between the Manager and the Sub-Advisor with respect</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>to its Fund, each for a one-year term ending June 30, 2012. In approving</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the continuation of the Agreements, the Boards considered: (a) the nature,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>extent and quality of the services provided by BlackRock; (b) the invest-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ment performance of the Funds and BlackRock; (c) the advisory fee and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the cost of the services and profits to be realized by BlackRock and its</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>affiliates from their relationship with the Funds; (d) economies of scale;</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(e) fall-out benefits to BlackRock as a result of its relationship with the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Funds; and (f) other factors deemed relevant by the Board Members.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Boards also considered other matters they deemed important to the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>approval process, such as services related to the valuation and pricing of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Fund portfolio holdings, direct and indirect benefits to BlackRock and its</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>affiliates and significant shareholders from their relationship with Funds</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and advice from independent legal counsel with respect to the review</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>process and materials submitted for the Boards&#8217; review. The Boards noted</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the willingness of BlackRock personnel to engage in open, candid discus-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>sions with the Boards. The Boards did not identify any particular informa-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>tion as controlling, and each Board Member may have attributed different</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>weights to the various items considered.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>A. Nature, Extent and Quality of the Services Provided by BlackRock: </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Boards, including the Independent Board Members, reviewed the nature,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>extent and quality of services provided by BlackRock, including the invest-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ment advisory services and the resulting performance of the Funds.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Throughout the year, the Boards compared Fund performance to the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>performance of a comparable group of closed-end funds and/or the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>performance of a relevant benchmark, if any. The Boards met with</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>BlackRock&#8217;s senior management personnel responsible for investment</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>operations, including the senior investment officers. Each Board also</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>reviewed the materials provided by its Fund&#8217;s portfolio management team</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>discussing Fund performance and the Fund&#8217;s investment objective, strate-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>gies and outlook.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Boards considered, among other factors, the number, education and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>experience of BlackRock&#8217;s investment personnel generally and their Funds&#8217;</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>portfolio management teams, investments by portfolio managers in the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>funds they manage, BlackRock&#8217;s portfolio trading capabilities, BlackRock&#8217;s</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>use of technology, BlackRock&#8217;s commitment to compliance, BlackRock&#8217;s</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>credit analysis capabilities, BlackRock&#8217;s risk analysis capabilities and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>BlackRock&#8217;s approach to training and retaining portfolio managers and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>other research, advisory and management personnel. The Boards engaged</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>in a review of BlackRock&#8217;s compensation structure with respect to their</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Funds&#8217; portfolio management teams and BlackRock&#8217;s ability to attract and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>retain high-quality talent and create performance incentives.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>In addition to advisory services, the Boards considered the quality of the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>administrative and non-investment advisory services provided to the Funds.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>BlackRock and its affiliates provide the Funds with certain services (in</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>addition to any such services provided to the Funds by third parties) and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>officers and other personnel as are necessary for the operations of the<BR></FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Funds. In addition to investment advisory services, BlackRock and its</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>affiliates provide the Funds with other services, including (i) preparing</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>disclosure documents, such as the prospectus and the statement of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>additional information in connection with the initial public offering and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>periodic shareholder reports; (ii) preparing communications with analysts</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>to support secondary market trading of the Funds; (iii) assisting with daily</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>accounting and pricing; (iv) preparing periodic filings with regulators and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>stock exchanges; (v) overseeing and coordinating the activities of other</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>service providers; (vi) organizing Board meetings and preparing the materi-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>als for such Board meetings; (vii) providing legal and compliance support;</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and (viii) performing other administrative functions necessary for the oper-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ation of the Funds, such as tax reporting, fulfilling regulatory filing require-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ments and call center services. The Boards reviewed the structure and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>duties of BlackRock&#8217;s fund administration, accounting, legal and compli-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ance departments and considered BlackRock&#8217;s policies and procedures</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>for assuring compliance with applicable laws and regulations.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>B. The Investment Performance of the Fund and BlackRock: </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Boards,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>including the Independent Board Members, also reviewed and considered</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the performance history of their Funds. In preparation for the April 14,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>2011 meeting, the Boards worked with BlackRock and Lipper to develop</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>a template for, and was provided with reports independently prepared by</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Lipper, which included a comprehensive analysis of each Fund&#8217;s perform-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ance. The Boards also reviewed a narrative and statistical analysis of the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Lipper data that was prepared by BlackRock, which analyzed various fac-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>tors that affect Lipper&#8217;s rankings. In connection with its review, each Board</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>received and reviewed information regarding the investment performance</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of its Fund as compared to funds in that Fund&#8217;s applicable Lipper category</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and, with respect to BHL, DVF and FRA, a customized peer group selected</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>by BlackRock, and with respect to BLW, the gross investment performance</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of BLW as compared with its custom benchmark. The Boards were provided</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>with a description of the methodology used by Lipper to select peer funds.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Boards and each Board&#8217;s Performance Oversight Committee regularly</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>review, and meet with Fund management to discuss, the performance of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the Funds throughout the year.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Board of BHL noted that, in general, the Fund performed better than</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>its Peers in that the Fund&#8217;s performance was above the median of its</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Customized Lipper Peer Group for the since-inception period but lower</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>than the median in the one-year period reported.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Board of BLW noted that the Fund&#8217;s gross performance exceeded</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>its custom benchmark during two of the one-, three- and five-year</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>periods reported.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Board of DVF noted that the Fund performed below the median of its</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Customized Lipper Peer Group in the three- and five-year periods reported,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>but that the Fund performed at or above the median of its Customized</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Lipper Peer Group in the one-year period reported. The Board of DVF and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>BlackRock reviewed and discussed the reasons for the Fund&#8217;s underperfor-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>mance during the three- and five-year periods compared with its Peers. The</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Board of DVF was informed that, among other things, the primary factor</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>impacting relative performance over the three- and five-year periods was</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the Fund&#8217;s performance in the difficult market years of 2007 and 2008.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>66 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (continued)</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Performance in 2008 was impacted by the Fund&#8217;s credit positioning,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>which was biased towards lower credit ratings, higher yield and higher</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>beta credits.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Board of FRA noted that the Fund performed below the median of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>its Customized Lipper Peer Group in the one- and three-year periods</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>reported, but that the Fund performed at or above the median of its</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Customized Lipper Peer Group in the five-year period reported. The Board</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>of FRA and BlackRock reviewed and discussed the reasons for the Fund&#8217;s</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>underperformance during the one- and three-year periods compared with</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>its Peers. The Board of FRA was informed that, among other things, in gen-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>eral the Fund&#8217;s portfolio management team runs a conservative investment</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>style that is biased towards the higher credit tiers and higher quality credits</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>in terms of cash flow, asset quality, collateral, and loan structure. The</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Fund&#8217;s portfolio management team believes this leads to superior risk-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>adjusted performance over longer periods but can cause the Fund to trail</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the average fund in up markets such as 2009 and 2010.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Board of each of DVF and FRA discussed with BlackRock its strategy</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>for improving the respective Fund&#8217;s performance and BlackRock&#8217;s commit-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ment to providing the resources necessary to assist the Fund&#8217;s portfolio</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>managers and to improve the Fund&#8217;s performance.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Boards noted that BlackRock has made changes to the organization of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the overall fixed income group management structure designed to result in</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>a strengthened leadership team.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>C. Consideration of the Advisory/Management Fees and the Cost of the</FONT><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Services and Profits to be Realized by BlackRock and its Affiliates from</FONT><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>their Relationship with the Fund: </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Each Board, including the Independent</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Board Members, reviewed its Fund&#8217;s contractual management fee ratio</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>compared with the other funds in its Lipper category. It also compared</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the Fund&#8217;s total expense ratio, as well as actual management fee ratio,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>to those of other funds in its Lipper category. The Boards considered the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>services provided and the fees charged by BlackRock to other types of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>clients with similar investment mandates, including separately managed</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>institutional accounts.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Boards received and reviewed statements relating to BlackRock&#8217;s finan-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>cial condition and profitability with respect to the services it provided the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Funds. The Boards were also provided with a profitability analysis that</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>detailed the revenues earned and the expenses incurred by BlackRock for</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>services provided to the Funds. The Boards reviewed BlackRock&#8217;s profitabil-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ity with respect to the Funds and other funds the Boards currently oversee</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>for the year ended December 31, 2010 compared to available aggregate</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>profitability data provided for the years ended December 31, 2009, and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>December 31, 2008. The Boards reviewed BlackRock&#8217;s profitability with</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>respect to other fund complexes managed by the Manager and/or its affili-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ates. The Boards reviewed BlackRock&#8217;s assumptions and methodology of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>allocating expenses in the profitability analysis, noting the inherent limita-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>tions in allocating costs among various advisory products. The Boards rec-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ognized that profitability may be affected by numerous factors including,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>among other things, fee waivers and expense reimbursements by the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Manager, the types of funds managed, expense allocations and business</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>mix, and the difficulty of comparing profitability as a result of those factors.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Boards noted that, in general, individual fund or product line profitabil-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ity of other advisors is not publicly available. The Boards considered</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>BlackRock&#8217;s overall operating margin, in general, compared to the operating</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>margin for leading investment management firms whose operations include</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>advising closed-end funds, among other product types. That data indicates</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>that operating margins for BlackRock, in general and with respect to its reg-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>istered funds, are generally consistent with margins earned by similarly sit-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>uated publicly traded competitors. In addition, the Boards considered,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>among other things, certain third party data comparing BlackRock&#8217;s operat-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ing margin with that of other publicly-traded asset management firms. That</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>third party data indicates that larger asset bases do not, in themselves,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>translate to higher profit margins.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>In addition, the Boards considered the cost of the services provided to the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Funds by BlackRock, and BlackRock&#8217;s and its affiliates&#8217; profits relating to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the management of the Funds and the other funds advised by BlackRock</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and its affiliates. As part of its analysis, the Boards reviewed BlackRock&#8217;s</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>methodology in allocating its costs to the management of the Funds. The</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Boards also considered whether BlackRock has the financial resources</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>necessary to attract and retain high quality investment management per-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>sonnel to perform its obligations under the Agreements and to continue to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>provide the high quality of services that is expected by the Boards.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Board of each of DVF, FRA and BLW noted that its respective Fund&#8217;s</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>contractual management fee ratio (a combination of the advisory fee and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the administration fee, if any) was lower than or equal to the median con-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>tractual management fee ratio paid by the Fund's Peers, in each case</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>before taking into account any expense reimbursements or fee waivers.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Board of BHL noted that the Fund&#8217;s contractual management fee ratio</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(a combination of the advisory fee and the administration fee, if any) was</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>above the median contractual management fee ratio paid by the Fund&#8217;s</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Peers, in each case before taking into account any expense reimburse-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ments or fee waivers. The Board of BHL also noted, however, that the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Fund&#8217;s actual management fee ratio, after giving effect to any expense</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>reimbursements or fee waivers by BlackRock, was lower than or equal to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the median actual management fee ratio paid by the Fund&#8217;s Peers, after</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>giving effect to any expense reimbursements or fee waivers.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>D. Economies of Scale: </FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Each Board, including the Independent Board</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Members, considered the extent to which economies of scale might be</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>realized as the assets of its Fund increase. Each Board also considered the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>extent to which its Fund benefits from such economies and whether there</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>should be changes in the advisory fee rate or structure in order to enable</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the Fund to participate in these economies of scale, for example through</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the use of breakpoints in the advisory fee based upon the asset level of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the Fund. Based on the ad hoc Joint Product Pricing Committees&#8217; and the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Boards&#8217; review and consideration of this issue, the Boards concluded that</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>closed-end funds are typically priced at scale at a fund&#8217;s inception; there-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>fore, the implementation of breakpoints was not necessary.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Boards noted that most closed-end funds do not have fund level</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>breakpoints because closed-end funds generally do not experience sub-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>stantial growth after the initial public offering. The Boards noted that only</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>one closed-end fund in the Fund Complex has breakpoints in its advisory</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>fee structure.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 67</FONT></P>

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<P style="text-align: left;">
<FONT color="#394c87" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Disclosure of Investment Advisory Agreements and Sub-Advisory Agreements (concluded)</FONT></P>
<P style="text-align: left;">
<FONT color="#231f20" size=2 face="FranklinGothic-MedCnd,Arial,Helvetica,sans-serif">E. Other Factors Deemed Relevant by the Board Members: </FONT><FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Boards,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">including the Independent Board Members, also took into account other</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ancillary or &#147;fall-out&#148; benefits that BlackRock or its affiliates and significant</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">shareholders may derive from their respective relationships with the Funds,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">both tangible and intangible, such as BlackRock&#146;s ability to leverage its</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">investment professionals who manage other portfolios and risk manage-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ment personnel, an increase in BlackRock&#146;s profile in the investment</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">advisory community, and the engagement of BlackRock&#146;s affiliates as</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">service providers to the Funds, including securities lending services. The</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Boards also considered BlackRock&#146;s overall operations and its efforts to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">expand the scale of, and improve the quality of, its operations. The Boards</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">also noted that BlackRock may use and benefit from third party research</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">obtained by soft dollars generated by certain registered fund transactions</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">to assist in managing all or a number of its other client accounts. The</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Boards further noted that BlackRock&#146;s funds may invest in affiliated</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ETFs without any offset against the management fees payable by the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">funds to BlackRock.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">In connection with its consideration of the Agreements, the Boards also</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">received information regarding BlackRock&#146;s brokerage and soft dollar prac-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tices. The Boards received reports from BlackRock which included informa-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">tion on brokerage commissions and trade execution practices throughout</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the year.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Boards noted the competitive nature of the closed-end fund market-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">place and that shareholders are able to sell their Fund shares in the sec-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ondary market if they believe that the Fund&#146;s fees and expenses are too</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">high or if they are dissatisfied with the performance of the Fund.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-Demi,Arial,Helvetica,sans-serif">Conclusion</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Each Board, including the Independent Board Members, unanimously</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">approved the continuation of the Advisory Agreement between the Manager</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and its Fund for a one-year term ending June 30, 2012 and the Sub-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Advisory Agreement between the Manager and the Sub-Advisor, with</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">respect to its Fund, for a one-year term ending June 30, 2012. As part</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">of its approval, the Boards considered the detailed review of BlackRock&#146;s</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">fee structure, as it applies to the Funds, conducted by the ad hoc Joint</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Product Pricing Committee. Based upon their evaluations of all of the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">aforementioned factors in their totality, the Boards, including the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Independent Board Members, were satisfied that the terms of the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Agreements were fair and reasonable and in the best interest of the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Funds and their shareholders. In arriving at their decision to approve the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Agreements, the Boards did not identify any single factor or group of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">factors as all-important or controlling, but considered all factors together,</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and different Board Members may have attributed different weights to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the various factors considered. The Independent Board Members were</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">also assisted by the advice of independent legal counsel in making these</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">determinations. The contractual fee arrangements for the Funds reflect</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the results of several years of review by the Board Members and predeces-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">sor Board Members, and discussions between such Board Members</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(and predecessor Board Members) and BlackRock. As a result, the Board</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Members&#146; conclusions may be based in part on their consideration of</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">these arrangements in prior years.</FONT></P>
<P style="text-align: left;">
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">68 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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<FONT color="#394c87" size=4 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">Automatic Dividend Reinvestment Plans</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Pursuant to each Fund&#146;s Dividend Reinvestment Plan (the &#147;Reinvestment</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Plan&#148;), Common Shareholders are automatically enrolled to have all distri-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">butions of dividends and capital gains reinvested by Computershare Trust</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Company, N.A. (the &#147;Reinvestment Plan Agent&#148;) in the respective Fund&#146;s</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">shares pursuant to the Reinvestment Plan. Shareholders who do not partic-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ipate in the Reinvestment Plan will receive all distributions in cash paid by</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">check and mailed directly to the shareholders of record (or if the shares</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">are held in street name or other nominee name, then to the nominee) by</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the Reinvestment Plan Agent, which serves as agent for the shareholders in</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">administering the Reinvestment Plan.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">After the Funds declare a dividend or determine to make a capital gain</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">distribution, the Reinvestment Plan Agent will acquire shares for the part-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">icipants&#146; accounts, depending upon the following circumstances, either</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">(i) through receipt of unissued but authorized shares from the Fund (&#147;newly</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">issued shares&#148;) or (ii) by purchase of outstanding shares on the open mar-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ket or on the Fund&#146;s primary exchange (&#147;open-market purchases&#148;). If, on</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the dividend payment date, the net asset value per share (&#147;NAV&#148;) is equal</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">to or less than the market price per share plus estimated brokerage com-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">missions (such condition often referred to as a &#147;market premium&#148;), the</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Reinvestment Plan Agent will invest the dividend amount in newly issued</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">shares on behalf of the participants. The number of newly issued shares to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">be credited to each participant&#146;s account will be determined by dividing</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the dollar amount of the dividend by the NAV on the date the shares are</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">issued. However, if the NAV is less than 95% of the market price on the div-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">idend payment date, the dollar amount of the dividend will be divided by</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">95% of the market price on the dividend payment date. If, on the dividend</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">payment date, the NAV is greater than the market price per share plus esti-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">mated brokerage commissions (such condition often referred to as a &#147;mar-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">ket discount&#148;), the Reinvestment Plan Agent will invest the dividend amount</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">in shares acquired on behalf of the participants in open-market purchases.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">If the Reinvestment Plan Agent is unable to invest the full dividend amount</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">in open-market purchases, or if the market discount shifts to a market</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">premium during the purchase period, the Reinvestment Plan Agent will</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">invest any un-invested portion in newly issued shares. Investments in</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">newly issued shares made in this manner would be made pursuant to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">the same process described above and the date of issue for such newly</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">issued shares will substitute for the dividend payment date.</FONT></P>
<P style="text-align: left;">
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Participation in the Reinvestment Plan is completely voluntary and may be</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">terminated or resumed at any time without penalty by notice if received</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">and processed by the Reinvestment Plan Agent prior to the dividend record</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">date. Additionally, the Reinvestment Plan Agent seeks to process notices</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">received after the record date but prior to the payable date and such</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">notices often will become effective by the payable date. Where late notices</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">are not processed by the applicable payable date, such termination or</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">resumption will be effective with respect to any subsequently declared</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">dividend or other distribution.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">The Reinvestment Plan Agent&#146;s fees for the handling of the reinvestment</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">of dividends and distributions will be paid by each Fund. However, each</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">participant will pay a pro rata share of brokerage commissions incurred</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">with respect to the Reinvestment Plan Agent&#146;s open market purchases in</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">connection with the reinvestment of dividends and distributions. The auto-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">matic reinvestment of dividends and distributions will not relieve partici-</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">pants of any federal income tax that may be payable on such dividends</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">or distributions.</FONT><BR>
<BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Each Fund reserves the right to amend or terminate the Reinvestment Plan.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">There is no direct service charge to participants in the Reinvestment Plan;</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">however, each Fund reserves the right to amend the Reinvestment Plan to</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">include a service charge payable by the participants. Participants that</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">request a sale of shares through the Reinvestment Plan Agent are subject</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">to a &#36;2.50 sales fee and a &#36;0.15 per share sold brokerage commission.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">All correspondence concerning the Reinvestment Plan should be directed</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">to the Reinvestment Plan Agent: Computershare Trust Company, N. A., P. O.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Box 43078, Providence, RI 02940-3078, Telephone: (800) 699-1BFM.</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">All overnight correspondence should be directed to the Reinvestment</FONT><BR>
<FONT color="#231f20" size=2 face="FranklinGothic-BookCnd,Arial,Helvetica,sans-serif">Plan Agent at 250 Royall Street, Canton, MA 02021.</FONT></P>
<P style="text-align: left;">
<FONT color="#231f20" size=1 face="FranklinGothic-Book,Arial,Helvetica,sans-serif">ANNUAL REPORT AUGUST 31, 2011 69</FONT></P>

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<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="13%"></TD>

   <TD width="10%"></TD>

   <TD width="7%"></TD>

   <TD width="47%"></TD>

   <TD width="9%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=3><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Officers and Directors</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=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Number of</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Length of</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock-</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Position(s)</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Time</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Advised Funds</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Name, Address</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Held with</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Served as</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>and Portfolios</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Public</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>and Year of Birth</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Funds</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>a Director</FONT><SUP><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Principal Occupation(s) During Past Five Years</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Overseen</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Directorships</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Independent Directors</FONT><SUP><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>1</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Richard E. Cavanagh</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chairman</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Since</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Trustee, Aircraft Finance Trust from 1999 to 2009; Director, The Guardian Life</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>96 Funds</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Arch Chemical</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>55 East 52nd Street</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>of the Board</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2007</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Insurance Company of America since 1998; Trustee, Educational Testing Service</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>96 Portfolios</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(chemical and allied</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New York, NY 10055</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>and Director</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>from 1997 to 2009 and Chairman thereof from 2005 to 2009; Senior Advisor,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>products)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1946</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The Fremont Group since 2008 and Director thereof since 1996; Adjunct Lecturer,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Harvard University since 2007; President and Chief Executive Officer, The Conference</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Board, Inc. (global business research organization) from 1995 to 2007.</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Karen P. Robards</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Vice</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Since</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Partner of Robards &amp; Company, LLC (financial advisory firm) since 1987;</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>96 Funds</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>AtriCure, Inc.</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>55 East 52nd Street</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chairperson</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2007</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Co-founder and Director of the Cooke Center for Learning and Development</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>96 Portfolios</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(medical devices)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New York, NY 10055</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>of the Board,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(a not-for-profit organization) since 1987; Director of Care Investment Trust, Inc.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1950</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chairperson of</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(health care real estate investment trust) from 2007 to 2010; Director of Enable</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>the Audit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Medical Corp. from 1996 to 2005; Investment Banker at Morgan Stanley from</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Committee</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1976 to 1987.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>and Director</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Michael J. Castellano</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Director and</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Since</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Managing Director and Chief Financial Officer of Lazard Group LLC from 2001</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>96 Funds</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>None</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>55 East 52nd Street</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Member of</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2011</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>to 2011; Chief Financial Officer of Lazard Ltd. from 2004 to 2011; Director,</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>96 Portfolios</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New York, NY 10055</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>the Audit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Support Our Aging Religions (non-profit) since 2009; Director, National Advisory</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1946</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Committee</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Board of Church Management at Villanova University since2010.</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Frank J. Fabozzi</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Director and</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Since</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Editor of and Consultant for The Journal of Portfolio Management since 1986;</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>96 Funds</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>None</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>55 East 52nd Street</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Member of</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2007</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Professor of Finance, EDHEC Business School since 2011; Professor in the</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>96 Portfolios</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New York, NY 10055</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>the Audit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Practice of Finance and Becton Fellow, Yale University School of Management</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1948</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Committee</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>from 2006 to 2011; Adjunct Professor of Finance and Becton Fellow, Yale</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>University from 1994 to 2006.</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Kathleen F. Feldstein</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Director</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Since</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>President of Economics Studies, Inc. (private economic consulting firm) since</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>96 Funds</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The McClatchy</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>55 East 52nd Street</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2007</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1987; Chair, Board of Trustees, McLean Hospital from 2000 to 2008 and Trustee</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>96 Portfolios</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Company</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New York, NY 10055</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Emeritus thereof since 2008; Member of the Board of Partners Community</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(publishing);</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1941</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Healthcare, Inc. from 2005 to 2009; Member of the Corporation of Partners</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BellSouth (tele-</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><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>HealthCare since 1995; Trustee, Museum ofFine Arts, Boston since 1992; Member</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>communications);</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><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>of the Visiting Committee to the Harvard University Art Museum since 2003; Director,</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Knight Ridder</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Catholic Charities of Boston since 2009.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(publishing)</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>James T. Flynn</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Director and</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Since</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chief Financial Officer of JPMorgan &amp; Co., Inc. from 1990 to 1995.</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>96 Funds</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>None</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>55 East 52nd Street</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Member of</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2007</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>96 Portfolios</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New York, NY 10055</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>the Audit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1939</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Committee</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Jerrold B. Harris</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Director</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Since</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Trustee, Ursinus College since 2000; Director, Troemner LLC (scientific equipment)</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>96 Funds</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock Kelso</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>55 East 52nd Street</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2007</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>since 2000; Director of Delta Waterfowl Foundation since 2001; President and</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>96 Portfolios</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Capital Corp.</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New York, NY 10055</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chief Executive Officer, VWR Scientific Products Corporation from 1990 to 1999.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(business</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1942</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><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>development</FONT>&nbsp;</TD></TR>

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   <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><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>company)</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>70 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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   <TD align=left colSpan=4><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Officers and Directors (continued)</FONT>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Number of</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Length of</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock-</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Position(s)</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Time</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Advised Funds</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Name, Address</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Held with</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Served as</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>and Portfolios</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Public</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>and Year of Birth</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Funds</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>a Director</FONT><SUP><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Principal Occupation(s) During Past Five Years</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Overseen</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Directorships</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Independent Directors</FONT><SUP><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>1 </FONT></SUP><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>(concluded)</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>R. Glenn Hubbard</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Director</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Since</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Dean, Columbia Business School since 2004; Columbia faculty member since</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>96 Funds</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>ADP (data and</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>55 East 52nd Street</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2007</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1988; Co-Director, Columbia Business School&#8217;s Entrepreneurship Program from</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>96 Portfolios</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>information services);</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New York, NY 10055</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1997 to 2004; Chairman, U.S. Council of Economic Advisers under the President</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>KKR Financial</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1958</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>of the United States from 2001 to 2003; Chairman,Economic Policy Committee</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Corporation (finance);</FONT>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

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   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>of the OECD from 2001 to 2003.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Metropolitan Life</FONT>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Insurance Company</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>(insurance)</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>W. Carl Kester</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Director and</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Since</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>George Fisher Baker Jr. Professor of Business Administration, Harvard Business</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>96 Funds</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>None</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>55 East 52nd Street</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Member of</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2007</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>School; Deputy Dean for Academic Affairs from 2006 to 2010; Chairman of the</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>96 Portfolios</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New York, NY 10055</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>the Audit</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Finance Department, Harvard Business School from 2005 to 2006; Senior</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1951</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Committee</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Associate Dean and Chairman of the MBA Program of Harvard Business School</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD align=middle colSpan=6><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>from 1999 to 2005; Member of the faculty of Harvard Business School&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>since 1981.</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>&nbsp;</TD>

   <TD align=left colSpan=5><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Directors serve until their resignation, removal or death, or until December 31 of the year in which they turn 72. In 2011, the Board of Directors unani-</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=left colSpan=5><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>mously approved extending the mandatory retirement age for James T. Flynn by one additional year, which the Board believes would be in the best</FONT>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>interest of shareholders.</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=left colSpan=5><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Date shown is the earliest date a person has served for the Funds covered by this annual report. Following the combination ofMerrill Lynch Investment</FONT>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=left colSpan=5><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Managers, L.P. (&#8220;MLIM&#8221;) and BlackRock, Inc. (&#8220;BlackRock&#8221;) in September 2006, the various legacy MLIM and legacy BlackRock Fundboards were</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=left colSpan=5><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>realigned and consolidated into three new Fund boards in 2007. As a result, although the chart shows Directors as joining the Funds&#8217; board in 2007,</FONT>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=left colSpan=5><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>each Director first became a member of the board of other legacy MLIM or legacy BlackRock Funds as follows: Richard E. Cavanagh, 1994; Frank J.</FONT>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px" align=left colSpan=5><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Fabozzi, 1988; Kathleen F. Feldstein, 2005; James T. Flynn, 1996; Jerrold B. Harris, 1999; R. Glenn Hubbard, 2004; W. Carl Kester, 1995; and Karen P.</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left colSpan=2><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Robards, 1998.</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 style="TEXT-INDENT: 3px; BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Interested Directors</FONT><SUP><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>3</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Paul L. Audet</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Director</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Since</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Senior Managing Director, BlackRock, Inc., and Head of BlackRock&#8217;s Real Estate</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>96 Funds</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>None</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>55 East 52nd Street</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2011</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>business from 2008 to 2011; Member of BlackRock&#8217;s Global Operating and</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>96 Portfolios</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New York, NY 10055</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Corporate Risk Management Committees and of the BlackRock Alternative Investors</FONT>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1953</FONT>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Executive Committee and Investment Committee for the Private Equity Fund of</FONT>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Funds business since 2008; Head of BlackRock's Global Cash Management</FONT>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>business from 2005 to 2010; Acting Chief Financial Officer of BlackRock from</FONT>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2007 to 2008; Chief Financial Officer of BlackRock from 1998 to 2005; Senior</FONT>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Vice President of Finance at PNC Bank Corp. and Chief Financial Officer of the</FONT>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Investment Management and Mutual Fund Processing businesses from 1996 to</FONT>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1998 and Head of PNC&#8217;s Mergers &amp; Acquisitions unit from 1992 to 1998; Member</FONT>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>of PNC&#8217;s Corporate Asset-Liability Committee and Marketing Committees from 1992</FONT>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>to 1998; Chief Financial Officer of PNC&#8217;s eastern operations from 1991 to 1992;</FONT>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Senior Vice President of First Fidelity Bancorporation, responsible for the Corporate</FONT>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Finance, Asset-Liability Committee, and Mergers &amp; Acquisitions functions from</FONT>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1986 to 1991.</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Henry Gabbay</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Director</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Since</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Consultant, BlackRock, Inc. from 2007 to 2008; Managing Director, BlackRock,</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>158 Funds</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>None</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>55 East 52nd Street</FONT>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2007</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Inc. from 1989 to 2007; Chief Administrative Officer, BlackRock Advisors, LLC</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>283 Portfolios</FONT>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New York, NY 10055</FONT>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>from 1998 to 2007; President of BlackRock Funds and BlackRock Bond Allocation</FONT>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1947</FONT>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Target Shares from 2005 to 2007; Treasurer of certain closed-end funds in the</FONT>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock fund complex from 1989 to 2006.</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>

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   <TD align=left colSpan=5><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>3 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Mr. Audet is an &#8220;interested person,&#8221; as defined in the 1940 Act, of the Funds based on his position with BlackRock, Inc. and its affiliates. Mr. Gabbay is</FONT>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left colSpan=5><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>an &#8220;interested person&#8221; of the Funds based on his former positions with BlackRock, Inc. and its affiliates as well as his ownership of BlackRock, Inc. and</FONT>&nbsp;</TD></TR>

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   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=left colSpan=5><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>The PNC Financial Services Group, Inc. securities. Directors serve until their resignation, removal or death, or until December31 of the year in which they</FONT>&nbsp;</TD></TR>

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   <TD style="TEXT-INDENT: 2px" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>turn 72.</FONT>&nbsp;</TD>

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<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 71</FONT></P>

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   <TD align=left colSpan=4><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Officers and Directors (concluded)</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Position(s)</FONT>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Name, Address</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Held with</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Length of</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>and Year of Birth</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Funds</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Time Served</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Principal Occupation(s) During Past Five Years</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#e3e3ef><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Officers</FONT><SUP><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>1</FONT></SUP>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#e3e3ef>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>John M. Perlowski</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>President</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Since</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Managing Director of BlackRock, Inc. since 2009; Global Head of BlackRock Fund Administration since 2009;</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>55 East 52nd Street</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>and Chief</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2011</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Managing Director and Chief Operating Officer of the Global Product Group at Goldman Sachs Asset Management,</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New York, NY 10055</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Executive</FONT>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>L.P. from 2003 to 2009; Treasurer of Goldman Sachs Mutual Funds from 2003 to 2009 and Senior Vice President</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1964</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Officer</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>thereof from 2007 to 2009; Director of Goldman Sachs Offshore Funds from 2002 to 2009; Director of Family</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle colSpan=4><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Resource Network (charitable foundation) since 2009.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp; </FONT></TD></TR>

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   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Anne Ackerley</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Vice</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Since</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Managing Director of BlackRock, Inc. since 2000; President and Chief Executive Officer of the BlackRock-advised funds</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>55 East 52nd Street</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>President</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2007</FONT><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2</FONT></SUP>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>from 2009 to 2011; Vice President of the BlackRock-advised funds from 2007 to 2009; Chief Operating Officer of</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New York, NY 10055</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock&#8217;s Global Client Group since 2009; Chief OperatingOfficer of BlackRock&#8217;s U.S. Retail Group from 2006 to</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1962</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><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2009; Head of BlackRock&#8217;s Mutual Fund Group from 2000 to 2006.</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Brendan Kyne</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Vice</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Since</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Managing Director of BlackRock, Inc. since 2010; Director of BlackRock, Inc. from 2008 to 2009; Head of Product</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>55 East 52nd Street</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>President</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2009</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Development and Management for BlackRock&#8217;s U.S. Retail Group since 2009, Co-head thereof from 2007 to</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New York, NY 10055</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2009; Vice President of BlackRock, Inc. from 2005 to 2008.</FONT>&nbsp;</TD></TR>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1977</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>

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   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Neal Andrews</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chief</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Since</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Managing Director of BlackRock, Inc. since 2006; SeniorVice President and Line of Business Head of Fund</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>55 East 52nd Street</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Financial</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2007</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Accounting and Administration at PNC Global Investment Servicing (U.S.) Inc. from 1992 to 2006.</FONT>&nbsp;</TD></TR>

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   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New York, NY 10055</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Officer</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

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   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1966</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Jay Fife</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Treasurer</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Since</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Managing Director of BlackRock, Inc. since 2007; Director of BlackRock, Inc. in 2006; Assistant Treasurer of the</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>55 East 52nd Street</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2007</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>MLIM and Fund Asset Management, L.P. advised funds from 2005 to 2006; Director of MLIM Fund Services Group</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New York, NY 10055</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>from 2001 to 2006.</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1970</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Brian Kindelan</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chief</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Since</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Chief Compliance Officer of the BlackRock-advised funds since 2007; Managing Director and Senior Counsel of</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>55 East 52nd Street</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Compliance</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2007</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BlackRock, Inc. since 2005.</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New York, NY 10055</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Officer and</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1959</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Anti-Money</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Laundering</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Officer</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ira P. Shapiro</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Secretary</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Since</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Managing Director of BlackRock, Inc. since 2009; ManagingDirector and Associate General Counsel of Barclays</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>55 East 52nd Street</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2010</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Global Investors from 2008 to 2009 and Principal thereof from 2004 to 2008.</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>New York, NY 10055</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1963</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 colSpan=3><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>1 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Officers of the Funds serve at the pleasure of the Boards.</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left colSpan=3><SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>2 </FONT></SUP><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Ms. Ackerley was President and Chief Executive Officer from 2009 to 2011.</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<DIV align=left>

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<TR>

   <TD width="18%"></TD>

   <TD width="19%"></TD>

   <TD width="21%"></TD>

   <TD width="23%"></TD>

   <TD width="17%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Investment Advisor</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Custodian</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Transfer Agent</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Accounting Agent</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Legal Counsel</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>BlackRock Advisors, LLC</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>State Street Bank</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Common Shares</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>State Street Bank</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Skadden, Arps, Slate,</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Wilmington, DE 19809</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and Trust Company</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Computershare Trust</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>and Trust Company</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Meagher &amp; Flom LLP</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Boston, MA 02111</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Company, N.A.</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Boston, MA 02116</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>New York, NY 10036</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Sub-Advisor</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Providence, RI 02940</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>BlackRock Financial</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Independent Registered</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Address of the Funds</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Management, Inc.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Public Accounting Firm</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>100 Bellevue Parkway</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>New York, NY 10055</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Deloitte &amp; Touche LLP</FONT>&nbsp;</TD>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Wilmington, DE 19809</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><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Boston, MA 02116</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2></FONT>&nbsp;</P>

<P style="MARGIN: 0px"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Effective April 14, 2011, Michael J. Castellano became Director of the Funds and Member of the Audit Committee.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Effective July 28, 2011, Richard S. Davis resigned as Director of the Funds, and Paul L. Audet became Director of the Funds.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>72 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

<HR align=center width="100%" noShade SIZE=2>



<DIV style="PAGE-BREAK-BEFORE: always"></DIV>

<!--$$/page=--><A name="page_74"></A><BR>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Additional Information</FONT><BR><BR><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Proxy Results</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Annual Meeting of Shareholders was held on July 28, 2011 for shareholders of record on May 31, 2011 to elect director nominees for each Fund. There</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>were no broker non-votes with regard to any of the Funds.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Approved the Class I Directors as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="18%"></TD>

   <TD width="23%"></TD>

   <TD width="8%"></TD>

   <TD width="5%"></TD>

   <TD width="8%"></TD>

   <TD width="7%"></TD>

   <TD width="6%"></TD>

   <TD width="7%"></TD>

   <TD width="8%"></TD>

   <TD width="5%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Paul L. Audet</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=3><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Michael J. Castellano</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>R. Glenn Hubbard</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes For</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Withheld</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Abstain</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes For</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Withheld</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Abstain</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes For</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Withheld</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Abstain</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BHL</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,390,771</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>72,968</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,390,771</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>72,968</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,383,606</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>80,133</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BLW</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>28,570,432</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>523,850</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>28,575,762</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>518,520</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>28,569,954</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>524,328</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="33%"></TD>

   <TD width="42%"></TD>

   <TD width="16%"></TD>

   <TD width="8%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>W. Carl Kester</FONT>&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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes</FONT>&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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes For</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Withheld</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Abstain</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BHL</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>6,390,771</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>72,968</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>BLW</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>28,574,757</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>519,525</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>For the Funds listed above, Directors whose term of office continued after</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the Annual Meeting of Shareholders because they were not up for election</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>are Richard E. Cavanagh, Frank J. Fabozzi, Kathleen F. Feldstein, James T.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Flynn, Henry Gabbay, Jerrold B. Harris and Karen P. Robards.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Approved the Directors as follows:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="18%"></TD>

   <TD width="23%"></TD>

   <TD width="9%"></TD>

   <TD width="5%"></TD>

   <TD width="7%"></TD>

   <TD width="8%"></TD>

   <TD width="6%"></TD>

   <TD width="7%"></TD>

   <TD width="8%"></TD>

   <TD width="5%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Paul L. Audet</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=3><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Michael J. Castellano</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=3><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Richard E. Cavanagh</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes For</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Withheld</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Abstain</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes For</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Withheld</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Abstain</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes For</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Withheld</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Abstain</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,483,803</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>292,436</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,478,425</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>297,814</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,492,002</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>284,237</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,772,071</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>193,578</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,771,303</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>194,346</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,773,540</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>192,109</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Frank J. Fabozzi</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=right colSpan=3><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Kathleen F. Feldstein</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 1px; BORDER-BOTTOM: #000000 1px solid" align=left colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>James T. Flynn</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes For</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Withheld</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Abstain</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes For</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Withheld</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Abstain</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes For</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Withheld</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Abstain</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,483,250</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>292,989</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,477,564</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>298,675</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,490,955</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>285,284</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,763,303</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>202,346</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,764,187</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>201,462</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,756,574</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>209,075</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Henry Gabbay</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=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Jerrold B. Harris</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>R. Glenn Hubbard</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD style="TEXT-INDENT: 3px" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes For</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Withheld</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Abstain</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes For</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Withheld</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Abstain</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes For</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Withheld</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Abstain</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,485,052</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>291,187</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,486,341</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>289,898</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,484,900</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>291,339</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,773,540</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>192,109</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,752,137</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>213,512</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 3px double" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,760,718</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>204,931</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>W. Carl Kester</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=middle colSpan=2><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Karen P. Robards</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>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes</FONT>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes</FONT>&nbsp;</TD>

   <TD align=middle>&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 face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes For</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Withheld</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Abstain</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Votes For</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Withheld</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>Abstain</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 face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>DVF</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,488,816</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>287,423</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>8,488,112</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>288,127</FONT>&nbsp;</TD>

   <TD align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=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 style="BORDER-BOTTOM: #000000 1px solid" align=left><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>FRA</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,765,290</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>200,359</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>12,759,238</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>206,411</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=1>0</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 73</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Additional Information (continued)</FONT><BR><BR><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Fund Certification</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Certain Funds are listed for trading on the NYSE and have filed with the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>NYSE their annual chief executive officer certification regarding compliance</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>with the NYSE&#8217;s listing standards. The Funds filed with the SEC the certifica-<BR></FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>tion of their chief executive officer and chief financial officer required by</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>section 302 of the Sarbanes-Oxley Act.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>Dividend Policy</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Funds&#8217; dividend policy is to distribute all or a portion of their net</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>investment income to its shareholders on a monthly basis. In order to pro-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>vide shareholders with a more stable level of dividend distributions, the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Funds may at times pay out less than the entire amount of net investment</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>income earned in any particular month and may at times in any particular</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>month pay out such accumulated but undistributed income in addition to<BR></FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>net investment income earned in that month. As a result, the dividends</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>paid by the Funds for any particular month may be more or less than the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>amount of net investment income earned by the Funds during such month.</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Funds&#8217; current accumulated but undistributed net investment income,</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>if any, is disclosed in the Statements of Assets and Liabilities, which com-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>prises part of the financial information included in this report.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>General Information</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Funds do not make available copies of their Statements of Additional</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Information because the Funds&#8217; shares are not continuously offered, which</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>means that the Statement of Additional Information of each Fund has not</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>been updated after completion of the respective Fund&#8217;s offerings and the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>information contained in each Fund&#8217;s Statement of Additional Information</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>may have become outdated.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>During the period, there were no material changes in the Funds&#8217; investment</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>objectives or policies or to the Funds&#8217; charters or by-laws that would delay</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>or prevent a change of control of the Funds that were not approved by</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>shareholders or in the principal risk factors associated with investment in</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>the Funds. There have been no changes in the persons who are primarily</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>responsible for the day-to-day management of the Funds&#8217; portfolios.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Quarterly performance, semi-annual and annual reports and other informa-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>tion regarding the Funds may be found on BlackRock&#8217;s website, which can</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>be accessed at http://www.blackrock.com. This reference to BlackRock&#8217;s</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>website is intended to allow investors public access to information regard-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ing the Funds and does not, and is not intended to, incorporate BlackRock&#8217;s</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>website into this report.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Electronic Delivery</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Electronic copies of most financial reports are available on the Funds&#8217; web-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>sites or shareholders can sign up for e-mail notifications of quarterly state-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ments, annual and semi-annual reports by enrolling in the Funds&#8217; electronic</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>delivery program.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Shareholders Who Hold Accounts with Investment Advisors, Banks</FONT><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>or Brokerages:</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Please contact your financial advisor to enroll. Please note that not all</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>investment advisors, banks or brokerages may offer this service.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Householding</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>The Funds will mail only one copy of shareholder documents, including</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>annual and semi-annual reports and proxy statements, to shareholders</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>with multiple accounts at the same address. This practice is commonly</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>called &#8220;householding&#8221; and is intended to reduce expenses and eliminate<BR></FONT><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>duplicate mailings of shareholder documents. Mailings of your shareholder</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>documents may be householded indefinitely unless you instruct us</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>otherwise. If you do not want the mailing of these documents to be</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>combined with those for other members of your household, please</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>call (800) 441-7762.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Availability of Quarterly Schedule of Investments</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Each Fund files its complete schedule of portfolio holdings with the SEC</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>for the first and third quarters of each fiscal year on Form N-Q. The Funds&#8217;</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Forms N-Q are available on the SEC&#8217;s website at http://www.sec.gov and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>may also be reviewed and copied at the SEC&#8217;s Public Reference Room in</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Washington, DC. Information on how to access documents on the SEC&#8217;s</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>website without charge may be obtained by calling (800) SEC-0330. Each</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Fund&#8217;s Forms N-Q may also be obtained upon request and without charge</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>by calling (800) 441-7762.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Availability of Proxy Voting Policies and Procedures</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>A description of the policies and procedures that each Fund uses to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>determine how to vote proxies relating to portfolio securities is available</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(1) without charge, upon request, by calling (800) 441-7762;</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(2) at http://www.blackrock.com; and (3) on the SEC&#8217;s website</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>at http://www.sec.gov.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Availability of Proxy Voting Record</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Information about how the Funds voted proxies relating to securities</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>held in each Fund&#8217;s portfolio during the most recent 12-month period</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>ended June 30 is available upon request and without charge (1) at</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>http://www.blackrock.com or by calling (800) 441-7762 and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>(2) on the SEC&#8217;s website at http://www.sec.gov.</FONT><BR><BR><FONT face=FranklinGothic-MedCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>Availability of Fund Updates</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>BlackRock will update performance and certain other data for the Funds</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>on a monthly basis on its website in the &#8220;Closed-end Funds&#8221; section of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>http://www.blackrock.com. Investors and others are advised to periodically</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>check the website for updated performance information and the release of</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>other material information about the Funds.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>74 ANNUAL REPORT AUGUST 31, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#394c87 size=4>Additional Information (concluded)</FONT><BR><BR><FONT face=FranklinGothic-DemiCnd,Arial,Helvetica,sans-serif color=#394c87 size=1>BlackRock Privacy Principles</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>BlackRock is committed to maintaining the privacy of its current and for-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>mer fund investors and individual clients (collectively, &#8220;Clients&#8221;) and to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>safeguarding their non-public personal information. The following infor-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>mation is provided to help you understand what personal information</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>BlackRock collects, how we protect that information and why in certain</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>cases we share such information with select parties.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>If you are located in a jurisdiction where specific laws, rules or regulations</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>require BlackRock to provide you with additional or different privacy-related</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>rights beyond what is set forth below, then BlackRock will comply with those</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>specific laws, rules or regulations.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>BlackRock obtains or verifies personal non-public information from and</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>about you from different sources, including the following: (i) information we</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>receive from you or, if applicable, your financial intermediary, on applica-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>tions, forms or other documents; (ii) information about your transactions</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>with us, our affiliates, or others; (iii) information we receive from a consumer</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>reporting agency; and (iv) from visits to our websites.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>BlackRock does not sell or disclose to non-affiliated third parties any non-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>public personal information about its Clients, except as permitted by law</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>or as is necessary to respond to regulatory requests or to service Client</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>accounts. These non-affiliated third parties are required to protect the</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>confidentiality and security of this information and to use it only for its</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>intended purpose.</FONT><BR><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>We may share information with our affiliates to service your account or to</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>provide you with information about other BlackRock products or services</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>that may be of interest to you. In addition, BlackRock restricts access</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>to non-public personal information about its Clients to those BlackRock</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>employees with a legitimate business need for the information. BlackRock</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>maintains physical, electronic and procedural safeguards that are designed</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>to protect the non-public personal information of its Clients, including pro-</FONT><BR><FONT face=FranklinGothic-BookCnd,Arial,Helvetica,sans-serif color=#231f20 size=2>cedures relating to the proper storage and disposal of such information.</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face=FranklinGothic-Book,Arial,Helvetica,sans-serif color=#231f20 size=1>ANNUAL REPORT AUGUST 31, 2011 75</FONT></P>

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<FONT color="#231f20" size=2 face="CorporateS-Light,Arial,Helvetica,sans-serif">This report is transmitted to shareholders only. It is not a prospectus. Past performance results shown in this report should not</FONT><BR>
<FONT color="#231f20" size=2 face="CorporateS-Light,Arial,Helvetica,sans-serif">be considered a representation of future performance. The Funds have leveraged their Common Shares, which creates risks for</FONT><BR>
<FONT color="#231f20" size=2 face="CorporateS-Light,Arial,Helvetica,sans-serif">Common Shareholders, including the likelihood of greater volatility of net asset value and market price of Common Shares, and</FONT><BR>
<FONT color="#231f20" size=2 face="CorporateS-Light,Arial,Helvetica,sans-serif">the risk that fluctuations in short-term interest rates may reduce the Common Shares&#146; yield. Statements and other information</FONT><BR>
<FONT color="#231f20" size=2 face="CorporateS-Light,Arial,Helvetica,sans-serif">herein are as dated and are subject to change.</FONT></P>
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<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 2 &#150; Code of Ethics &#150; The registrant (or the &#147;Fund&#148;) has adopted a code of ethics, as of the end</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">of the period covered by this report, applicable to the registrant&#146;s principal executive officer,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">principal financial officer, principal accounting officer or controller, or persons performing</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">similar functions. During the period covered by this report, there have been no amendments</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">to or waivers granted under the code of ethics. A copy of the code of ethics is available</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">without charge at www.blackrock.com.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 3 &#150; Audit Committee Financial Expert &#150; The registrant&#146;s board of directors (the &#147;board of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">directors&#148;), has determined that (i) the registrant has the following audit committee financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">experts serving on its audit committee and (ii) each audit committee financial expert is</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">independent:</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Frank J. Fabozzi</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">James T. Flynn</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">W. Carl Kester</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Karen P. Robards</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">The registrant&#146;s board of directors has determined that W. Carl Kester and Karen P. Robards</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">qualify as financial experts pursuant to Item 3(c)(4) of Form N-CSR.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Prof. Kester has a thorough understanding of generally accepted accounting principles,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial statements and internal control over financial reporting as well as audit committee</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">functions. Prof. Kester has been involved in providing valuation and other financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">consulting services to corporate clients since 1978. Prof. Kester&#146;s financial consulting</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">services present a breadth and level of complexity of accounting issues that are generally</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">comparable to the breadth and complexity of issues that can reasonably be expected to be</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">raised by the registrant&#146;s financial statements.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Ms. Robards has a thorough understanding of generally accepted accounting principles,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial statements and internal control over financial reporting as well as audit committee</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">functions. Ms. Robards has been President of Robards &amp; Company, a financial advisory</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">firm, since 1987. Ms. Robards was formerly an investment banker for more than 10 years</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">where she was responsible for evaluating and assessing the performance of companies based</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">on their financial results. Ms. Robards has over 30 years of experience analyzing financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">statements. She also is a member of the audit committee of one publicly held company and</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">a non-profit organization.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Under applicable securities laws, a person determined to be an audit committee financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">expert will not be deemed an &#147;expert&#148; for any purpose, including without limitation for the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">purposes of Section 11 of the Securities Act of 1933, as a result of being designated or</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">identified as an audit committee financial expert. The designation or identification as an</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">audit committee financial expert does not impose on such person any duties, obligations, or</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">liabilities greater than the duties, obligations, and liabilities imposed on such person as a</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">member of the audit committee and board of directors in the absence of such designation or</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">identification. The designation or identification of a person as an audit committee financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">expert does not affect the duties, obligations, or liability of any other member of the audit</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">committee or board of directors.</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Item 4 &#8211; Principal Accountant Fees and Services</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>The following table presents fees billed by Deloitte &amp; Touche LLP (&#8220;D&amp;T&#8221;) in each of the</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>last two fiscal years for the services rendered to the Fund:</FONT></P>

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<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="15%"></TD>

   <TD width="11%"></TD>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="10%"></TD>

   <TD width="8%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px" align=middle colSpan=2><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>(a) Audit Fees</FONT></B>&nbsp;</TD>

   <TD align=middle colSpan=2><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>(b) Audit-Related Fees</FONT></B><B><SUP><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>1</FONT></SUP></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 5px" align=middle colSpan=2><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>(c) Tax Fees</FONT></B><B><SUP><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>2</FONT></SUP></B>&nbsp;</TD>

   <TD style="TEXT-INDENT: 2px" align=middle colSpan=2><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>(d) All Other Fees</FONT></B><B><SUP><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>3</FONT></SUP></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Current</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Previous</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Current</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Previous</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Current</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Previous</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Current</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Previous</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Fiscal&nbsp;</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Fiscal</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Fiscal</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Fiscal</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Fiscal</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Fiscal</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Fiscal</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Fiscal</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Entity Name</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Year End</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Year End</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Year End</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Year End</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Year End</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Year End</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Year End</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Year End</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>BlackRock Limited</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>Duration Income</FONT>&nbsp;</TD>

   <TD align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$58,400</FONT>&nbsp;</TD>

   <TD align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$52,300</FONT>&nbsp;</TD>

   <TD align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$0</FONT>&nbsp;</TD>

   <TD align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$0</FONT>&nbsp;</TD>

   <TD align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$23,600</FONT>&nbsp;</TD>

   <TD align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$6,100</FONT>&nbsp;</TD>

   <TD align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$0</FONT>&nbsp;</TD>

   <TD align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$0</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>Trust</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>The following table presents fees billed by D&amp;T that were required to be approved by the</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>registrant&#8217;s audit committee (the &#8220;Committee&#8221;) for services that relate directly to the</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>operations or financial reporting of the Fund and that are rendered on behalf of BlackRock</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Advisors, LLC (&#8220;Investment Adviser&#8221; or &#8220;BlackRock&#8221;) and entities controlling, controlled</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>by, or under common control with BlackRock (not including any sub-adviser whose role is</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>primarily portfolio management and is subcontracted with or overseen by another investment</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>adviser) that provide ongoing services to the Fund (&#8220;Fund Service Providers&#8221;):</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="29%"></TD>

   <TD width="38%"></TD>

   <TD width="31%"></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif" size=1>Current Fiscal Year End</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif" size=1>Previous Fiscal Year End</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif" size=1>(b) Audit-Related Fees</FONT></B><B><SUP><FONT face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif" size=1>1</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=1>$0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=1>$0</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif" size=1>(c) Tax Fees</FONT></B><B><SUP><FONT face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif" size=1>2</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=1>$0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=1>$0</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left><B><FONT face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif" size=1>(d) All Other Fees</FONT></B><B><SUP><FONT face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif" size=1>3</FONT></SUP></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=1>$3,030,000</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=1>$2,950,000</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=3><SUP><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=1>1 </FONT></SUP><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=1>The nature of the services includes assurance and related services reasonably related to the performance of the audit of financial statements</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=1>not included in Audit Fees.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=2><SUP><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=1>2 </FONT></SUP><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=1>The nature of the services includes tax compliance, tax advice and tax planning.</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=3><SUP><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=1>3 </FONT></SUP><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=1>Aggregate fees borne by BlackRock in connection with the review of compliance procedures and attestation thereto performed by D&amp;T</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left colSpan=3><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=1>with respect to all of the registered closed-end funds and some of the registered open-end funds advised by BlackRock.</FONT>&nbsp;</TD></TR></TABLE></DIV>

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<P style="TEXT-ALIGN: left"><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>(e)(1) Audit Committee Pre-Approval Policies and Procedures:</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>The Committee has adopted policies and procedures with regard to the pre-approval</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>of services. Audit, audit-related and tax compliance services provided to the registrant on</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>an annual basis require specific pre-approval by the Committee. The Committee also must</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>approve other non-audit services provided to the registrant and those non-audit services</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>provided to the Investment Adviser and Fund Service Providers that relate directly to the</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>operations and the financial reporting of the registrant. Certain of these non-audit services</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>that the Committee believes are a) consistent with the SEC&#8217;s auditor independence rules and</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>b) routine and recurring services that will not impair the independence of the independent</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>accountants may be approved by the Committee without consideration on a specific case-</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>by-case basis (&#8220;general pre-approval&#8221;). The term of any general pre-approval is 12 months</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>from the date of the pre-approval, unless the Committee provides for a different period. Tax</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>or other non-audit services provided to the registrant which have a direct impact on the</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>operations or financial reporting of the registrant will only be deemed pre-approved</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>provided that any individual project does not exceed $10,000 attributable to the registrant or</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>$50,000 per project. For this purpose, multiple projects will be aggregated to determine if</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>they exceed the previously mentioned cost levels.</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Any proposed services exceeding the pre-approved cost levels will require specific</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>pre-approval by the Committee, as will any other services not subject to general pre-</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>approval (e.g., unanticipated but permissible services). The Committee is informed of each</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>service approved subject to general pre-approval at the next regularly scheduled in-person</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>board meeting. At this meeting, an analysis of such services is presented to the Committee</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>for ratification. The Committee may delegate to the Committee Chairman the authority to</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>approve the provision of and fees for any specific engagement of permitted non-audit</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>services, including services exceeding pre-approved cost levels.</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>(e)(2) None of the services described in each of Items 4(b) through (d) were approved by</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>the Committee pursuant to the de minimis exception in paragraph (c)(7)(i)(C) of Rule 2-01</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>of Regulation S-X.</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>(f) Not Applicable</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>(g) The aggregate non-audit fees paid to the accountant for services rendered by the</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>accountant to the registrant, the Investment Adviser and the Fund Service Providers were:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="41%"></TD>

   <TD width="33%"></TD>

   <TD width="24%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Current Fiscal Year</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Previous Fiscal</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Entity Name</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>End</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Year End</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>BlackRock Limited Duration</FONT>&nbsp;</TD>

   <TD align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$23,600</FONT>&nbsp;</TD>

   <TD align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$16,877</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>Income Trust</FONT>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Additionally, SAS No. 70 fees for the current and previous fiscal years of $3,030,000 and</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>$2,950,000, respectively, were billed by D&amp;T to the Investment Adviser.</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>(h) The Committee has considered and determined that the provision of non-audit services</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>that were rendered to the Investment Adviser, and the Fund Service Providers that were not</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>pre-approved pursuant to paragraph (c)(7)(ii) of Rule 2-01 of Regulation S-X is compatible</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>with maintaining the principal accountant&#8217;s independence.</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Item 5 &#8211; Audit Committee of Listed Registrants</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>(a) The following individuals are members of the registrant&#8217;s separately-designated</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>standing audit committee established in accordance with Section 3(a)(58)(A) of the</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Securities Exchange Act of 1934 (15 U.S.C. 78c(a)(58)(A)):</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Michael Castellano</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Frank J. Fabozzi</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>James T. Flynn</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>W. Carl Kester</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Karen P. Robards</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>(b) Not Applicable</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Item 6 &#8211; Investments</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>(a) The registrant&#8217;s Schedule of Investments is included as part of the Report to</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Stockholders filed under Item 1 of this Form.</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>(b) Not Applicable due to no such divestments during the semi-annual period covered since</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>the previous Form N-CSR filing.</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Item 7 &#8211; Disclosure of Proxy Voting Policies and Procedures for Closed-End Management</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Investment Companies &#8211; The board of directors has delegated the voting of proxies for the</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Fund&#8217;s portfolio securities to the Investment Adviser pursuant to the Investment Adviser&#8217;s</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>proxy voting guidelines. Under these guidelines, the Investment Adviser will vote proxies</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>related to Fund securities in the best interests of the Fund and its stockholders. From time to</FONT></P>

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<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">time, a vote may present a conflict between the interests of the Fund&#146;s stockholders, on the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">one hand, and those of the Investment Adviser, or any affiliated person of the Fund or the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Investment Adviser, on the other. In such event, provided that the Investment Adviser&#146;s</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Equity Investment Policy Oversight Committee, or a sub-committee thereof (the &#147;Oversight</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Committee&#148;) is aware of the real or potential conflict or material non-routine matter and if</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">the Oversight Committee does not reasonably believe it is able to follow its general voting</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">guidelines (or if the particular proxy matter is not addressed in the guidelines) and vote</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">impartially, the Oversight Committee may retain an independent fiduciary to advise the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Oversight Committee on how to vote or to cast votes on behalf of the Investment Adviser&#146;s</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">clients. If the Investment Adviser determines not to retain an independent fiduciary, or does</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">not desire to follow the advice of such independent fiduciary, the Oversight Committee shall</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">determine how to vote the proxy after consulting with the Investment Adviser&#146;s Portfolio</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Management Group and/or the Investment Adviser&#146;s Legal and Compliance Department</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">and concluding that the vote cast is in its client&#146;s best interest notwithstanding the conflict.</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">A copy of the Fund&#146;s Proxy Voting Policy and Procedures are attached as Exhibit</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">99.PROXYPOL. Information on how the Fund voted proxies relating to portfolio securities</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">during the most recent 12-month period ended June 30 is available without charge, (i) at</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">www.blackrock.com and (ii) on the SEC&#146;s website at </FONT><U><FONT color="#0000ff" size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">http://www.sec.gov</FONT></U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">.</FONT></P>
<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Item 8 &#150; Portfolio Managers of Closed-End Management Investment Companies &#150; as of August 31,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2011.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a)(1) The Fund is managed by a team of investment professionals comprised of Leland</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Hart, Managing Director at BlackRock, James E. Keenan, Managing Director at BlackRock</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">and C. Adrian Marshall, Director at BlackRock. Messrs. Hart, Keenan and Marshall are the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Fund&#146;s co-portfolio managers and are responsible for the day-to-day management of the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Fund&#146;s portfolio and the selection of its investments. Mr. Keenan has been a member of the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Fund&#146;s portfolio management team since 2007. Messrs. Hart and Marshall have been</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">members of the Fund&#146;s portfolio management team since 2009.</FONT></P>
<DIV align="left">
<TABLE border=0 cellspacing=0>
<TR>
     <TD width=20%></TD>
     <TD width=79%></TD></TR>
<TR valign="bottom">
	<TD align=left style="border-bottom:1px solid #000000;">
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Portfolio Manager</FONT></B>&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Biography</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Leland Hart</FONT>&nbsp;</TD>
	<TD align=left>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Managing Director of BlackRock since 2009; Partner of R3 Capital Partners</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
&nbsp;</TD>
	<TD align=left>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">("R3") in 2009; Managing Director of R3 in 2008 - 2009; Managing Director of</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
&nbsp;</TD>
	<TD align=left>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Lehman Brothers from 2006 - 2008; Executive Director of Lehman Brothers</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">from 2003 - 2006.</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">James E. Keenan</FONT>&nbsp;</TD>
	<TD align=left>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Managing Director of BlackRock since 2008 and Head of the Leveraged</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
&nbsp;</TD>
	<TD align=left>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Finance Portfolio team; Director of BlackRock from 2006 to 2007; Vice</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">President of BlackRock from 2004 to 2005.</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">C. Adrian Marshall</FONT>&nbsp;</TD>
	<TD align=left>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Director of BlackRock since 2007; Vice President of BlackRock from 2004 to</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="border-bottom:1px solid #000000;">
&nbsp;</TD>
	<TD align=left style="border-bottom:1px solid #000000;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2007.</FONT>&nbsp;</TD>
</TR>
</TABLE>
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<P style="TEXT-ALIGN: left"><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>(a)(2) As of August 31, 2011:</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="17%"></TD>

   <TD width="14%"></TD>

   <TD width="14%"></TD>

   <TD width="14%"></TD>

   <TD width="12%"></TD>

   <TD width="14%"></TD>

   <TD width="12%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle colSpan=3><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>(ii) Number of Other Accounts Managed</FONT></B>&nbsp;</TD>

   <TD align=middle colSpan=3><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>(iii) Number of Other Accounts and</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle colSpan=3><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>and Assets by Account Type</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle colSpan=3><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Assets for Which Advisory Fee is</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>(i) Name of</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Other</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Other Pooled</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Other</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Other</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Other Pooled</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Other</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Portfolio Manager</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Registered</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Investment</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Accounts</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Registered</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Investment</FONT></B>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Accounts</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Investment</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Vehicles</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD>

   <TD align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Investment</FONT></B>&nbsp;</TD>

   <TD align=middle><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=1>Vehicles</FONT></B>&nbsp;</TD>

   <TD align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#ccffff><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>Leland Hart</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#ccffff><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>8</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#ccffff><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>12</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#ccffff><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>3</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#ccffff><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#ccffff><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>7</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#ccffff><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>0</FONT>&nbsp;</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 face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$2.37 Billion</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$2.99 Billion</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$299.6 Million</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$1.98 Billion</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$0</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#ccffff><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>James E. Keenan</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#ccffff><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>22</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#ccffff><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>24</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#ccffff><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>32</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#ccffff><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#ccffff><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>14</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#ccffff><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>4</FONT>&nbsp;</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 face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$10.87 Billion</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$7.00 Billion</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$5.25 Billion</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$2.73 Billion</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$564.7 Million</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=left bgColor=#ccffff><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>C. Adrian Marshall</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#ccffff><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>7</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#ccffff><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>16</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#ccffff><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>6</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#ccffff><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#ccffff><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>9</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle bgColor=#ccffff><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>0</FONT>&nbsp;</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 face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$2.37 Billion</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$3.41 Billion</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$725.3 Million</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$0</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$2.63 Billion</FONT>&nbsp;</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" align=middle><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=1>$0</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>(iv) Potential Material Conflicts of Interest</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>BlackRock has built a professional working environment, firm-wide compliance culture</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>and compliance procedures and systems designed to protect against potential incentives that</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>may favor one account over another. BlackRock has adopted policies and procedures that</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>address the allocation of investment opportunities, execution of portfolio transactions,</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>personal trading by employees and other potential conflicts of interest that are designed to</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>ensure that all client accounts are treated equitably over time. Nevertheless, BlackRock</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>furnishes investment management and advisory services to numerous clients in addition to</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>the Fund, and BlackRock may, consistent with applicable law, make investment</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>recommendations to other clients or accounts (including accounts which are hedge funds or</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>have performance or higher fees paid to BlackRock, or in which portfolio managers have a</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>personal interest in the receipt of such fees), which may be the same as or different from</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>those made to the Fund. In addition, BlackRock, its affiliates and significant shareholders</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>and any officer, director, shareholder or employee may or may not have an interest in the</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>securities whose purchase and sale BlackRock recommends to the Fund. BlackRock, or</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>any of its affiliates or significant shareholders, or any officer, director, shareholder,</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>employee or any member of their families may take different actions than those</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>recommended to the Fund by BlackRock with respect to the same securities. Moreover,</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>BlackRock may refrain from rendering any advice or services concerning securities of</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>companies of which any of BlackRock&#8217;s (or its affiliates&#8217; or significant shareholders&#8217;)</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>officers, directors or employees are directors or officers, or companies as to which</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>BlackRock or any of its affiliates or significant shareholders or the officers, directors and</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>employees of any of them has any substantial economic interest or possesses material non-</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>public information. Certain portfolio managers also may manage accounts whose</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>investment strategies may at times be opposed to the strategy utilized for a fund. It should</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>also be noted that Messrs. Hart, Keenan and Marshall may be managing certain hedge fund</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>and/or long only accounts, or may be part of a team managing certain hedge fund and/or</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>long only accounts, subject to incentive fees. Messrs. Hart, Keenan and Marshall may</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>therefore be entitled to receive a portion of any incentive fees earned on such accounts.</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Additional portfolio managers may in the future manage other such accounts or funds and</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>may be entitled to receive incentive fees.</FONT></P>

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<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">As a fiduciary, BlackRock owes a duty of loyalty to its clients and must treat each client</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">fairly. When BlackRock purchases or sells securities for more than one account, the trades</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">must be allocated in a manner consistent with its fiduciary duties. BlackRock attempts to</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">allocate investments in a fair and equitable manner among client accounts, with no account</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">receiving preferential treatment. To this end, BlackRock has adopted policies that are</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">intended to ensure reasonable efficiency in client transactions and provide BlackRock with</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">sufficient flexibility to allocate investments in a manner that is consistent with the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">particular investment discipline and client base, as appropriate.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">(a)(3) As of August 31, 2011:</FONT><BR>
<BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Portfolio Manager Compensation Overview</FONT></B><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock&#146;s financial arrangements with its portfolio managers, its competitive</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">compensation and its career path emphasis at all levels reflect the value senior management</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">places on key resources. Compensation may include a variety of components and may vary</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">from year to year based on a number of factors. The principal components of compensation</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">include a base salary, a performance-based discretionary bonus, participation in various</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">benefits programs and one or more of the incentive compensation programs established by</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock.</FONT><BR>
<BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Base compensation. </FONT></B><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Generally, portfolio managers receive base compensation based on</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">their position with BlackRock.</FONT><BR>
<BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Discretionary Incentive Compensation. </FONT></B><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Discretionary incentive compensation is a</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">function of several components: the performance of BlackRock, Inc., the performance of the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">portfolio manager&#146;s group within BlackRock, the investment performance, including risk-</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">adjusted returns, of the firm&#146;s assets under management or supervision by that portfolio</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">manager relative to predetermined benchmarks, and the individual&#146;s performance and</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">contribution to the overall performance of these portfolios and BlackRock. In most cases,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">these benchmarks are the same as the benchmark or benchmarks against which the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">performance of the Fund or other accounts managed by the portfolio managers are</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">measured. BlackRock&#146;s Chief Investment Officers determine the benchmarks against which</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">the performance of funds and other accounts managed by each portfolio manager is</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">compared and the period of time over which performance is evaluated. With respect to the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">portfolio managers, such benchmarks include the following:</FONT></P>
<DIV align="left">
<TABLE border=0 cellspacing=0>
<TR>
     <TD width=27%></TD>
     <TD width=72%></TD></TR>
<TR valign="bottom">
	<TD align=left>
<B><FONT size=2 face="TrebuchetMS-Bold,Arial,Helvetica,sans-serif">Portfolio Manager</FONT></B>&nbsp;</TD>
	<TD align=left>
<B><FONT size=2 face="TrebuchetMS-Bold,Arial,Helvetica,sans-serif">Applicable Benchmarks</FONT></B>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">Leland Hart</FONT>&nbsp;</TD>
	<TD align=left>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">A combination of market-based indices (e.g., CSFB</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">C. Adrian Marshall</FONT>&nbsp;</TD>
	<TD align=left>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">Leveraged Loan Index, CSFB High Yield II Value</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
&nbsp;</TD>
	<TD align=left>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">Index), certain customized indices and certain fund</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
&nbsp;</TD>
	<TD align=left>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">industry peer groups.</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">James Keenan</FONT>&nbsp;</TD>
	<TD align=left>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">A combination of market-based indices (e.g., The</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
&nbsp;</TD>
	<TD align=left>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">Barclays Capital U.S. Corporate High Yield 2% Issuer</FONT>&nbsp;</TD>
</TR>
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	<TD align=left>
&nbsp;</TD>
	<TD align=left>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">Capped&#153; Index), certain customized indices and</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
&nbsp;</TD>
	<TD align=left>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">certain fund industry peer groups.</FONT>&nbsp;</TD>
</TR>
</TABLE>
</DIV>
<P style="MARGIN:0px">&nbsp;</P>
<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Among other things, BlackRock&#146;s Chief Investment Officers make a subjective</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">determination with respect to each portfolio manager&#146;s compensation based on the</FONT></P>

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<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">performance of the Funds and other accounts managed by each portfolio manager relative to</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">the various benchmarks.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Performance of fixed income funds is measured on both a pre-tax and after-tax basis over</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">various time periods including 1-, 3- and 5-year periods, as applicable. With respect to the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">performance of the other listed Index and Multi-Asset Funds, performance is measured on,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">among other things, a pre-tax basis over various time periods including 1-, 3- and 5-year</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">periods, as applicable.</FONT><BR>
<BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Distribution of Discretionary Incentive Compensation</FONT></B><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Discretionary incentive compensation is distributed to portfolio managers in a combination</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">of cash and BlackRock, Inc. restricted stock units which vest ratably over a number of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">years. For some portfolio managers, discretionary incentive compensation is also</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">distributed in deferred cash awards that notionally track the returns of select BlackRock</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">investment products they manage and that vest ratably over a number of years. The</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock, Inc. restricted stock units, upon vesting, will be settled in BlackRock, Inc.</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">common stock. Typically, the cash bonus, when combined with base salary, represents</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">more than 60% of total compensation for the portfolio managers. Paying a portion of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">annual bonuses in stock puts compensation earned by a portfolio manager for a given year</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#147;at risk&#148; based on BlackRock&#146;s ability to sustain and improve its performance over future</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">periods. Providing a portion of annual bonuses in deferred cash awards that notionally track</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">the BlackRock investment products they manage provides direct alignment with investment</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">product results.</FONT><BR>
<BR>
<I><FONT size=2 face="TimesNewRomanPS-ItalicMT,Times New Roman,Times,serif">Long-Term Incentive Plan Awards &#151; </FONT></I><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">From time to time long-term incentive equity</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">awards are granted to certain key employees to aid in retention, align their interests with</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">long-term shareholder interests and motivate performance. Equity awards are generally</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">granted in the form of BlackRock, Inc. restricted stock units that, once vested, settle in</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock, Inc. common stock. Messrs. Hart, Keenan and Marshall have each received</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">long-term incentive awards.</FONT><BR>
<BR>
<I><FONT size=2 face="TimesNewRomanPS-ItalicMT,Times New Roman,Times,serif">Deferred Compensation Program &#151; </FONT></I><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">A portion of the compensation paid to</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">eligible BlackRock employees may be voluntarily deferred into an account that tracks the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">performance of certain of the firm&#146;s investment products. Each participant in the deferred</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">compensation program is permitted to allocate his deferred amounts among various</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock investment options. Messrs. Messrs. Hart, Keenan and Marshall have each</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">participated in the deferred compensation program.</FONT><BR>
<BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Other compensation benefits. </FONT></B><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">In addition to base compensation and discretionary</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">incentive compensation, portfolio managers may be eligible to receive or participate in one</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">or more of the following incentive savings plans. BlackRock, Inc. has created a variety of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">incentive savings plans in which BlackRock, Inc. employees are eligible to participate,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">including a 401(k) plan, the BlackRock Retirement Savings Plan (RSP), and the BlackRock</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Employee Stock Purchase Plan (ESPP). The employer contribution components of the RSP</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">include a company match equal to 50% of the first 8% of eligible pay contributed to the plan</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">capped at &#36;5,000 per year, and a company retirement contribution equal to 3-5% of eligible</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">compensation. The RSP offers a range of investment options, including registered</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">investment companies and collective investment funds managed by the firm. BlackRock</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">contributions follow the investment direction set by participants for their own contributions</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">or, absent participant investment direction, are invested into an index target date fund that</FONT></P>

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<P style="TEXT-ALIGN: left"><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>corresponds to, or is closest to, the year in which the participant attains age 65. The ESPP</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>allows for investment in BlackRock, Inc. common stock at a 5% discount on the fair market</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>value of the stock on the purchase date. Annual participation in the ESPP is limited to the</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>purchase of 1,000 shares or a dollar value of $25,000. Each portfolio manager is eligible to</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>participate in these plans.</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>(a)(4) </FONT><I><FONT face="TimesNewRomanPS-ItalicMT,Times New Roman,Times,serif" size=2>Beneficial Ownership of Securities </FONT></I><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>&#8211; As of August 31, 2011.</FONT></P>

<DIV align=left>

<TABLE cellSpacing=0 border=0>



<TR>

   <TD width="36%"></TD>

   <TD width="63%"></TD></TR>

<TR vAlign=bottom>

   <TD align=left><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=2>Portfolio Manager</FONT></B>&nbsp;</TD>

   <TD align=left><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=2>Dollar Range of Equity Securities</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left>&nbsp;</TD>

   <TD align=left><B><FONT face=TrebuchetMS-Bold,Arial,Helvetica,sans-serif size=2>of the Fund Beneficially Owned</FONT></B>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=2>Leland Hart</FONT>&nbsp;</TD>

   <TD align=left><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=2>None</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=2>James E. Keenan</FONT>&nbsp;</TD>

   <TD align=left><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=2>None</FONT>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD align=left><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=2>C. Adrian Marshall</FONT>&nbsp;</TD>

   <TD align=left><FONT face="Trebuchet MS,Arial,Helvetica,sans-serif" size=2>$1 - $10,000</FONT>&nbsp;</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P>

<P style="TEXT-ALIGN: left"><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>(b) Not Applicable</FONT></P>

<P style="TEXT-ALIGN: left"><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Item 9 &#8211; Purchases of Equity Securities by Closed-End Management Investment Company and</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Affiliated Purchasers &#8211; Not Applicable due to no such purchases during the period covered</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>by this report.</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Item 10 &#8211; Submission of Matters to a Vote of Security Holders &#8211; There have been no material</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>changes to these procedures.</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Item 11 &#8211; Controls and Procedures</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>(a) &#8211; The registrant&#8217;s principal executive and principal financial officers, or persons</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>performing similar functions, have concluded that the registrant&#8217;s disclosure controls and</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940, as</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>amended (the &#8220;1940 Act&#8221;)) are effective as of a date within 90 days of the filing of this</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>report based on the evaluation of these controls and procedures required by Rule 30a-3(b)</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>under the 1940 Act and Rule 13a-15(b) under the Securities Exchange Act of 1934, as</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>amended.</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>(b) &#8211; There were no changes in the registrant&#8217;s internal control over financial reporting (as</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>defined in Rule 30a-3(d) under the 1940 Act) that occurred during the second fiscal quarter</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>of the period covered by this report that have materially affected, or are reasonably likely to</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>materially affect, the registrant&#8217;s internal control over financial reporting.</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Item 12 &#8211; Exhibits attached hereto</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>(a)(1) &#8211; Code of Ethics &#8211; See Item 2</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>(a)(2) &#8211; Certifications &#8211; Attached hereto</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>(a)(3) &#8211; Not Applicable</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>(b) &#8211; Certifications &#8211; Attached hereto</FONT><BR><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Company Act of 1940, the registrant has duly caused this report to be signed on its behalf by</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>the undersigned, thereunto duly authorized.</FONT></P>

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<P style="text-align: left;">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Limited Duration Income Trust</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">By: </FONT><U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/S/ John M. Perlowski</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">John M. Perlowski</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Executive Officer (principal executive officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Limited Duration Income Trust</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: November 4, 2011</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Pursuant to the requirements of the Securities Exchange Act of 1934 and the Investment</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: November 4, 2011</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">By: </FONT><U><FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">/S/ Neal J. Andrews</FONT></U><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Neal J. Andrews</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Chief Financial Officer (principal financial officer) of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">BlackRock Limited Duration Income Trust</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: November 4, 2011</FONT></P>

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<B><FONT size=2 face="Arial-BoldMT,Arial,Helvetica,sans-serif">EX-99.CERT</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">THE SARBANES-OXLEY ACT OF 2002</FONT></B><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">I, John M. Perlowski, Chief Executive Officer (principal executive officer) of BlackRock Limited Duration Income Trust,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">certify that:</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">1. I have reviewed this report on Form N-CSR of BlackRock Limited Duration Income Trust;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2. Based on my knowledge, this report does not contain any untrue statement of a material fact or omit to state a</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">material fact necessary to make the statements made, in light of the circumstances under which such statements were made,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">not misleading with respect to the period covered by this report;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">3. Based on my knowledge, the financial statements, and other financial information included in this report, fairly</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">present in all material respects the financial condition, results of operations, changes in net assets, and cash flows (if the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial statements are required to include a statement of cash flows) of the registrant as of, and for, the periods presented</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">in this report;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining disclosure controls</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940) and internal control over financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">reporting (as defined in Rule 30a-3(d) under the Investment Company Act of 1940) for the registrant and have:</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">a) designed such disclosure controls and procedures, or caused such disclosure controls and procedures to be</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">designed under our supervision, to ensure that material information relating to the registrant, including its</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">consolidated subsidiaries, is made known to us by others within those entities, particularly during the period in</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">which this report is being prepared;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">b) designed such internal control over financial reporting, or caused such internal control over financial</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">reporting to be designed under our supervision, to provide reasonable assurance regarding the reliability of</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial reporting and the preparation of financial statements for external purposes in accordance with generally</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">accepted accounting principles;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">c) evaluated the effectiveness of the registrant's disclosure controls and procedures and presented in this</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">report our conclusions about the effectiveness of the disclosure controls and procedures, as of a date within 90</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">days prior to the filing date of this report based on such evaluation; and</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">d) disclosed in this report any change in the registrant's internal control over financial reporting that</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">occurred during the second fiscal quarter of the period covered by this report that has materially affected, or is</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">reasonably likely to materially affect, the registrant's internal control over financial reporting; and</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">5. The registrant's other certifying officer(s) and I have disclosed to the registrant's auditors and the audit committee</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">of the registrant's board of directors (or persons performing the equivalent functions):</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">a) all significant deficiencies and material weaknesses in the design or operation of internal control over</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">financial reporting which are reasonably likely to adversely affect the registrant's ability to record, process,</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">summarize, and report financial information; and</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">b) any fraud, whether or not material, that involves management or other employees who have a significant</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">role in the registrant's internal control over financial reporting.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: November 4, 2011</FONT><BR>
<BR>
<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></P>

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<P style="text-align: left;">
<B><FONT size=2 face="Arial-BoldMT,Arial,Helvetica,sans-serif">EX-99.CERT</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">CERTIFICATION PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND</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-CSR of BlackRock Limited Duration Income Trust;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2. Based on my knowledge, this report does not contain any untrue statement of a material fact or</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 financial statements, and other financial information included in this</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">report, fairly present in all material respects the financial condition, results of operations, changes in net</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">assets, and cash flows (if the financial statements are required to include a statement of cash flows) of the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">registrant as of, and for, the periods presented in this report;</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">4. The registrant's other certifying officer(s) and I are responsible for establishing and maintaining</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 second fiscal quarter of the period covered by this report that</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">has materially affected, or is reasonably likely to materially affect, the registrant's internal control</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">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</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><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: November 4, 2011</FONT></P>

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<P style="TEXT-ALIGN: left"><U><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>/S/ Neal J. Andrews</FONT></U><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Neal J. Andrews</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>Chief Financial Officer (principal financial officer) of</FONT><BR><FONT face="TimesNewRomanPSMT,Times New Roman,Times,serif" size=2>BlackRock Limited Duration Income Trust</FONT></P>

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<FILENAME>blw906.htm
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<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Exhibit 99.1350CERT</FONT><BR>
<BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Certification Pursuant to Rule 30a-2(b) under the 1940 Act and</FONT></B><BR>
<B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">Section 906 of the Sarbanes-Oxley Act of 2002</FONT></B><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Pursuant to 18 U.S.C. &#167; 1350, the undersigned officer of BlackRock Limited Duration Income Trust (the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#147;Registrant&#148;), hereby certifies, to the best of his knowledge, that the Registrant&#146;s Report on Form N-CSR for the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">period ended August 31, 2011 (the &#147;Report&#148;) fully complies with the requirements of Section 13(a) of the Securities</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">respects, the financial condition and results of operations of the Registrant.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: November 4, 2011</FONT><BR>
<BR>
<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">Pursuant to 18 U.S.C. &#167; 1350, the undersigned officer of BlackRock Limited Duration Income Trust (the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">&#147;Registrant&#148;), hereby certifies, to the best of his knowledge, that the Registrant&#146;s Report on Form N-CSR for the</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">period ended August 31, 2011 (the &#147;Report&#148;) fully complies with the requirements of Section 13(a) of the Securities</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Exchange Act of 1934, as amended, and that the information contained in the Report fairly presents, in all material</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">respects, the financial condition and results of operations of the Registrant.</FONT><BR>
<BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Date: November 4, 2011</FONT><BR>
<BR>
<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">This certification is being furnished pursuant to Rule 30a-2(b) under the Investment Company Act of 1940, as</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">amended, and 18 U.S.C. Section 1350 and is not being filed as part of the Form N-CSR with the Securities and</FONT><BR>
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">Exchange Commission</FONT><B><FONT size=2 face="TimesNewRomanPS-BoldMT,Times New Roman,Times,serif">.</FONT></B></P>

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<TYPE>EX-99
<SEQUENCE>9
<FILENAME>proxypol.htm
<DESCRIPTION>PROXY POLICY
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<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">Page</FONT>&nbsp;</TD>
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<TR valign="bottom">
	<TD align=left>
<B><FONT size=2 face="TrebuchetMS-Bold,Arial,Helvetica,sans-serif">I.</FONT></B>&nbsp;</TD>
	<TD align=left>
<B><FONT size=2 face="TrebuchetMS-Bold,Arial,Helvetica,sans-serif">INTRODUCTION</FONT></B>&nbsp;</TD>
	<TD align=left style="TEXT-INDENT:18.000000px">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">1</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<B><FONT size=2 face="TrebuchetMS-Bold,Arial,Helvetica,sans-serif">II.</FONT></B>&nbsp;</TD>
	<TD align=left>
<B><FONT size=2 face="TrebuchetMS-Bold,Arial,Helvetica,sans-serif">PROXY VOTING POLICIES</FONT></B>&nbsp;</TD>
	<TD align=left style="TEXT-INDENT:18.000000px">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">2</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="TEXT-INDENT:2.000000px">
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">A.</FONT>&nbsp;</TD>
	<TD align=left style="TEXT-INDENT:3.000000px">
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">Boards of Directors</FONT>&nbsp;</TD>
	<TD align=left style="TEXT-INDENT:18.000000px">
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">2</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="TEXT-INDENT:2.000000px">
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">B.</FONT>&nbsp;</TD>
	<TD align=left style="TEXT-INDENT:3.000000px">
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">Auditors</FONT>&nbsp;</TD>
	<TD align=left style="TEXT-INDENT:18.000000px">
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">2</FONT>&nbsp;</TD>
</TR>
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	<TD align=left style="TEXT-INDENT:2.000000px">
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">C.</FONT>&nbsp;</TD>
	<TD align=left style="TEXT-INDENT:3.000000px">
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">Compensation and Benefits</FONT>&nbsp;</TD>
	<TD align=left style="TEXT-INDENT:18.000000px">
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">2</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="TEXT-INDENT:2.000000px">
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">D.</FONT>&nbsp;</TD>
	<TD align=left style="TEXT-INDENT:3.000000px">
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">Capital Structure</FONT>&nbsp;</TD>
	<TD align=left style="TEXT-INDENT:18.000000px">
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">2</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="TEXT-INDENT:2.000000px">
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">E.</FONT>&nbsp;</TD>
	<TD align=left style="TEXT-INDENT:3.000000px">
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">Corporate Charter and By-Laws</FONT>&nbsp;</TD>
	<TD align=left style="TEXT-INDENT:18.000000px">
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">3</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left style="TEXT-INDENT:2.000000px">
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">F.</FONT>&nbsp;</TD>
	<TD align=left style="TEXT-INDENT:3.000000px">
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">Environmental and Social Issues</FONT>&nbsp;</TD>
	<TD align=left style="TEXT-INDENT:18.000000px">
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">3</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<B><FONT size=2 face="TrebuchetMS-Bold,Arial,Helvetica,sans-serif">III.</FONT></B>&nbsp;</TD>
	<TD align=left style="TEXT-INDENT:3.000000px">
<B><FONT size=2 face="TrebuchetMS-Bold,Arial,Helvetica,sans-serif">CONFLICTS MANAGEMENT</FONT></B>&nbsp;</TD>
	<TD align=left style="TEXT-INDENT:18.000000px">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">3</FONT>&nbsp;</TD>
</TR>
<TR valign="bottom">
	<TD align=left>
<B><FONT size=2 face="TrebuchetMS-Bold,Arial,Helvetica,sans-serif">IV.</FONT></B>&nbsp;</TD>
	<TD align=left style="TEXT-INDENT:3.000000px">
<B><FONT size=2 face="TrebuchetMS-Bold,Arial,Helvetica,sans-serif">REPORTS TO THE BOARD</FONT></B>&nbsp;</TD>
	<TD align=left style="TEXT-INDENT:18.000000px">
<FONT size=2 face="TimesNewRomanPSMT,Times New Roman,Times,serif">3</FONT>&nbsp;</TD>
</TR>
</TABLE>
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<B><FONT size=2 face="TrebuchetMS-Bold,Arial,Helvetica,sans-serif">I. INTRODUCTION</FONT></B><BR>
<BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">The Trustees/Directors (&#147;Directors&#148;) of the BlackRock-Advised Funds (the &#147;Funds&#148;) have</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">the responsibility for voting proxies relating to portfolio securities of the Funds, and have</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">determined that it is in the best interests of the Funds and their shareholders to delegate</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">that responsibility to BlackRock Advisors, LLC and its affiliated U.S. registered investment</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">advisers (&#147;BlackRock&#148;), the investment adviser to the Funds, as part of BlackRock&#146;s</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">authority to manage, acquire and dispose of account assets. The Directors hereby direct</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">BlackRock to vote such proxies in accordance with this Policy, and any proxy voting</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">guidelines that the Adviser determines are appropriate and in the best interests of the</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">Funds&#146; shareholders and which are consistent with the principles outlined in this Policy.</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">The Directors have authorized BlackRock to utilize an unaffiliated third-party as its agent</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">to vote portfolio proxies in accordance with this Policy and to maintain records of such</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">portfolio proxy voting.</FONT><BR>
<BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">Rule 206(4)-6 under the Investment Advisers Act of 1940 requires, among other things, that</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">an investment adviser that exercises voting authority over clients&#146; proxy voting adopt</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">policies and procedures reasonably designed to ensure that the adviser votes proxies in the</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">best interests of clients, discloses to its clients information about those policies and</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">procedures and also discloses to clients how they may obtain information on how the</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">adviser has voted their proxies.</FONT><BR>
<BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">BlackRock has adopted separate but substantially similar guidelines and procedures that</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">are consistent with the principles of this Policy. BlackRock&#146;s Corporate Governance</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">Committee (the &#147;Committee&#148;), addresses proxy voting issues on behalf of BlackRock and</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">its clients, including the Funds. The Committee is comprised of senior members of</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">BlackRock&#146;s Portfolio Management and Administration Groups and is advised by</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">BlackRock&#146;s Legal and Compliance Department.</FONT><BR>
<BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">BlackRock votes (or refrains from voting) proxies for each Fund in a manner that</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">BlackRock, in the exercise of its independent business judgment, concludes are in the best</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">economic interests of such Fund. In some cases, BlackRock may determine that it is in the</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">best economic interests of a Fund to refrain from exercising the Fund&#146;s proxy voting rights</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">(such as, for example, proxies on certain non-U.S. securities that might impose costly or</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">time-consuming in-person voting requirements). With regard to the relationship between</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">securities lending and proxy voting, BlackRock&#146;s approach is also driven by our clients&#146;</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">economic interests. The evaluation of the economic desirability of recalling loans</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">involves balancing the revenue producing value of loans against the likely economic value</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">of casting votes. Based on our evaluation of this relationship, BlackRock believes that the</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">likely economic value of casting a vote generally is less than the securities lending income,</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">either because the votes will not have significant economic consequences or because the</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">outcome of the vote would not be affected by BlackRock recalling loaned securities in</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">order to ensure they are voted. Periodically, BlackRock analyzes the process and benefits</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">of voting proxies for securities on loan, and will consider whether any modification of its</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">proxy voting policies or procedures are necessary in light of any regulatory changes.</FONT><BR>
<BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">BlackRock will normally vote on specific proxy issues in accordance with BlackRock&#146;s proxy</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">voting guidelines. BlackRock&#146;s proxy voting guidelines provide detailed guidance as to how</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">to vote proxies on certain important or commonly raised issues. BlackRock may, in the</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">exercise of its business judgment, conclude that the proxy voting guidelines do not cover</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">the specific matter upon which a proxy vote is requested, or that an exception to the</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">proxy voting guidelines would be in the best economic interests of a Fund. BlackRock</FONT><BR>
<BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">1</FONT></P>

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<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">votes (or refrains from voting) proxies without regard to the relationship of the issuer of</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">the proxy (or any shareholder of such issuer) to the Fund, the Fund&#146;s affiliates (if any),</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">BlackRock or BlackRock&#146;s affiliates. When voting proxies, BlackRock attempts to</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">encourage companies to follow practices that enhance shareholder value and increase</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">transparency and allow the market to place a proper value on their assets.</FONT><BR>
<BR>
<B><FONT size=2 face="TrebuchetMS-Bold,Arial,Helvetica,sans-serif">II. PROXY VOTING POLICIES</FONT></B><BR>
<BR>
<B><FONT size=2 face="TrebuchetMS-Bold,Arial,Helvetica,sans-serif">A. Boards of Directors</FONT></B><BR>
<BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">The Funds generally support the board&#146;s nominees in the election of directors and</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">generally support proposals that strengthen the independence of boards of directors. As a</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">general matter, the Funds believe that a company&#146;s board of directors (rather than</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">shareholders) is most likely to have access to important, nonpublic information regarding a</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">company&#146;s business and prospects, and is therefore best-positioned to set corporate policy</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">and oversee management. The Funds therefore believe that the foundation of good</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">corporate governance is the election of responsible, qualified, independent corporate</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">directors who are likely to diligently represent the interests of shareholders and oversee</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">management of the corporation in a manner that will seek to maximize shareholder value</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">over time. In individual cases, consideration may be given to a director nominee&#146;s history</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">of representing shareholder interests as a director of the company issuing the proxy or</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">other companies, or other factors to the extent deemed relevant by the Committee.</FONT><BR>
<BR>
<B><FONT size=2 face="TrebuchetMS-Bold,Arial,Helvetica,sans-serif">B. Auditors</FONT></B><BR>
<BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">These proposals concern those issues submitted to shareholders related to the selection of</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">auditors. As a general matter, the Funds believe that corporate auditors have a</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">responsibility to represent the interests of shareholders and provide an independent view</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">on the propriety of financial reporting decisions of corporate management. While the</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">Funds anticipate that BlackRock will generally defer to a corporation&#146;s choice of auditor,</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">in individual cases, consideration may be given to an auditors&#146; history of representing</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">shareholder interests as auditor of the company issuing the proxy or other companies, to</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">the extent deemed relevant.</FONT><BR>
<BR>
<B><FONT size=2 face="TrebuchetMS-Bold,Arial,Helvetica,sans-serif">C. Compensation and Benefits</FONT></B><BR>
<BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">These proposals concern those issues submitted to shareholders related to management</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">compensation and employee benefits. As a general matter, the Funds favor disclosure of a</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">company&#146;s compensation and benefit policies and oppose excessive compensation, but</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">believe that compensation matters are normally best determined by a corporation&#146;s board</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">of directors, rather than shareholders. Proposals to &#147;micro-manage&#148; a company&#146;s</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">compensation practices or to set arbitrary restrictions on compensation or benefits should</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">therefore generally not be supported.</FONT><BR>
<BR>
<B><FONT size=2 face="TrebuchetMS-Bold,Arial,Helvetica,sans-serif">D. Capital Structure</FONT></B><BR>
<BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">These proposals relate to various requests, principally from management, for approval of</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">amendments that would alter the capital structure of a company, such as an increase in</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">authorized shares. As a general matter, the Funds expect that BlackRock will support</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">requests that it believes enhance the rights of common shareholders and oppose requests</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">that appear to be unreasonably dilutive.</FONT><BR>
<BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">2</FONT></P>

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<B><FONT size=2 face="TrebuchetMS-Bold,Arial,Helvetica,sans-serif">E. Corporate Charter and By-Laws</FONT></B><BR>
<BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">These proposals relate to various requests for approval of amendments to a corporation&#146;s</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">charter or by-laws. As a general matter, the Funds generally vote against anti-takeover</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">proposals and proposals that would create additional barriers or costs to corporate</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">transactions that are likely to deliver a premium to shareholders.</FONT><BR>
<BR>
<B><FONT size=2 face="TrebuchetMS-Bold,Arial,Helvetica,sans-serif">F. Environmental and Social Issues</FONT></B><BR>
<BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">These are shareholder proposals addressing either corporate social and environmental</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">policies or requesting specific reporting on these issues. The Funds generally do not</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">support proposals on social issues that lack a demonstrable economic benefit to the issuer</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">and the Fund investing in such issuer. BlackRock seeks to make proxy voting decisions in</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">the manner most likely to protect and promote the long-term economic value of the</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">securities held in client accounts. We intend to support economically advantageous</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">corporate practices while leaving direct oversight of company management and strategy to</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">boards of directors. We seek to avoid micromanagement of companies, as we believe that</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">a company&#146;s board of directors is best positioned to represent shareholders and oversee</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">management on shareholders behalf. Issues of corporate social and environmental</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">responsibility are evaluated on a case-by-case basis within this framework.</FONT><BR>
<BR>
<B><FONT size=2 face="TrebuchetMS-Bold,Arial,Helvetica,sans-serif">III. CONFLICTS MANAGEMENT</FONT></B><BR>
<BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">BlackRock maintains policies and procedures that are designed to prevent any relationship</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">between the issuer of the proxy (or any shareholder of the issuer) and a Fund, a Fund&#146;s</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">affiliates (if any), BlackRock or BlackRock&#146;s affiliates, from having undue influence on</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">BlackRock&#146;s proxy voting activity. In certain instances, BlackRock may determine to</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">engage an independent fiduciary to vote proxies as a further safeguard against potential</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">conflicts of interest or as otherwise required by applicable law. The independent fiduciary</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">may either vote such proxies or provide BlackRock with instructions as to how to vote such</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">proxies. In the latter case, BlackRock votes the proxy in accordance with the independent</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">fiduciary&#146;s determination.</FONT><BR>
<BR>
<B><FONT size=2 face="TrebuchetMS-Bold,Arial,Helvetica,sans-serif">IV. REPORTS TO THE BOARD</FONT></B><BR>
<BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">BlackRock will report to the Directors on proxy votes it has made on behalf of the Funds at</FONT><BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">least annually.</FONT><BR>
<BR>
<FONT size=2 face="Trebuchet MS,Arial,Helvetica,sans-serif">3</FONT><BR>
<FONT size=1 face="TimesNewRomanPSMT,Times New Roman,Times,serif">NY1 7275629V.2</FONT></P>

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`
end
</TEXT>
</DOCUMENT>
</SEC-DOCUMENT>
