<SEC-DOCUMENT>0000891092-12-004145.txt : 20120726
<SEC-HEADER>0000891092-12-004145.hdr.sgml : 20120726
<ACCEPTANCE-DATETIME>20120726143509
ACCESSION NUMBER:		0000891092-12-004145
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20120531
FILED AS OF DATE:		20120726
DATE AS OF CHANGE:		20120726
EFFECTIVENESS DATE:		20120726

FILER:

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

	FILING VALUES:
		FORM TYPE:		N-Q
		SEC ACT:		1940 Act
		SEC FILE NUMBER:	811-21349
		FILM NUMBER:		12987077

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

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

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

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

	FORMER COMPANY:	
		FORMER CONFORMED NAME:	BLACKROCK MANAGED DURATION TRUST
		DATE OF NAME CHANGE:	20030516
</SEC-HEADER>
<DOCUMENT>
<TYPE>N-Q
<SEQUENCE>1
<FILENAME>e49244nq.htm
<DESCRIPTION>QUARTERLY REPORT
<TEXT>
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   <TITLE></TITLE>
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<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: center; text-indent: 0in"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-weight: normal; vertical-align: baseline">UNITED
STATES</FONT></P>

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: center; text-indent: 0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif; font-weight: normal; vertical-align: baseline">SECURITIES
AND EXCHANGE COMMISSION </FONT></P>

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

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

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

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

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

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

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

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 6pt"><FONT STYLE="font-family: Times New Roman, Times, Serif">Investment
Company Act file number 811-21349</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 6pt 0.5in; text-indent: -0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif">Name
of Fund: BlackRock Limited Duration Income Trust (BLW)</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 6pt 0.5in; text-indent: -0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif">Fund
Address: 100 Bellevue Parkway, Wilmington, DE 19809</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 6pt 0.5in; text-indent: -0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif">Name
and address of agent for service: John M. Perlowski, Chief Executive Officer, BlackRock Limited Duration Income Trust, 55 East
52<SUP>nd</SUP> Street, New York, NY 10055</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 6pt 0.5in; text-indent: -0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif">Registrant&rsquo;s
telephone number, including area code: (800) 882-0052, Option 4</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 6pt 0.5in; text-indent: -0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif">Date
of fiscal year end: 08/31/2012</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 6pt 0.5in; text-indent: -0.5in"><FONT STYLE="font-family: Times New Roman, Times, Serif">Date
of reporting period: 05/31/2012</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 6pt"><FONT STYLE="font-family: Times New Roman, Times, Serif">Item
1 &ndash; Schedule of Investments
</FONT></P>

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<DIV align=left>

<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>
<TR vAlign=bottom>
   <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 11.5pt; color: rgb(57,76,135)"><FONT STYLE="font-size: 11pt; color: #000080">Consolidated Schedule of Investments</FONT><FONT STYLE="font-size: 12pt">
   </FONT><FONT STYLE="font-size: 9pt; color: #000080">May 31, 2012 (Unaudited)</FONT></TD>
   <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: bold 7pt Arial, Helvetica, Sans-Serif"><FONT STYLE="font-size: 8pt; color: #000080"><B>BlackRock Limited Duration Income Trust (BLW)<BR>
   (Percentages shown are based on Net Assets)</B></FONT></TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: center">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Asset-Backed Securities</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Asset-Backed Securities &#8212; 5.9%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">321 Henderson Receivables I LLC,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Series 2010-3A, Class A, 3.82%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left; width: 56%">12/15/48 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom; width: 13%">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">4,529</TD>

   <TD STYLE="width: 4%; text-align: left; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right"> 4,622,240</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">American Airlines Pass-Through</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Trust, Series 2011-2, Class A,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">8.63%, 10/15/21 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">871</TD>

   <TD COLSPAN="2" STYLE="text-align: right">915,064</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">AmeriCredit Automobile</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Receivables Trust, Series 2012-</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">2, Class D, 3.38%, 4/09/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,990</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,996,959</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Capital One Multi-Asset Execution</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Trust, Series 4-3C, 6.63%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">4/19/17 (c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">GBP</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,650</TD>

   <TD COLSPAN="2" STYLE="text-align: right">4,178,051</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Conseco Financial Corp., Series</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">1995-5, Class M1, 7.65%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">9/15/26 (c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">795</TD>

   <TD COLSPAN="2" STYLE="text-align: right">811,949</TD></TR>


<TR vAlign=bottom>

   <TD STYLE="text-align: left">Countrywide Asset-Backed Certificates (c):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Series 2007-10, Class 2A1,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">0.29%, 6/25/47</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">843</TD>

   <TD COLSPAN="2" STYLE="text-align: right">833,044</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Series 2007-12, Class 2A1,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">0.59%, 8/25/47</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,270</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,252,179</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Series 2007-6, Class 2A1,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">0.34%, 9/25/37</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">19</TD>

   <TD COLSPAN="2" STYLE="text-align: right">18,580</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Series 2007-7, Class 2A2,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">0.40%, 10/25/47</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,230</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,961,813</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">CSAM Funding, Series 2A, Class</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">B1, 7.05%, 10/15/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">750</TD>

   <TD COLSPAN="2" STYLE="text-align: right">755,850</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Ford Credit Floorplan Master Owner</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Trust:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Series 2010-5, Class C,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">2.07%, 9/15/15 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">890</TD>

   <TD COLSPAN="2" STYLE="text-align: right">895,044</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Series 2011-2, Class C,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">2.37%, 9/15/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,125</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,125,697</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Series 2011-2, Class D,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">2.86%, 9/15/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,145</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,145,623</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Fraser Sullivan CLO Ltd., Series</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">2012-7A, Class C, 4.47%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">4/20/23 (a)(c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,090</TD>

   <TD COLSPAN="2" STYLE="text-align: right">968,465</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Gannett Peak CLO Ltd., Series</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">2006-1X, Class A2, 0.83%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">10/27/20 (c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,330</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,083,950</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Goldentree Loan Opportunities VI</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Ltd., Series 2012-6A, Class D,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">4.61%, 4/17/22 (a)(c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,500</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,387,050</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">GSAA Trust, Series 2007-3, Class</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">1A2, 0.41%, 3/25/47 (c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,161</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,221,537</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Santander Consumer Acquired</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Receivables Trust, Series 2011-</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>


<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">S1A, Class D, 3.15%, 8/15/16 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,532</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,516,265</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Santander Drive Auto Receivables Trust:</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Series 2011-S1A, Class D,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">3.10%, 5/15/17 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,230</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,226,893</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Series 2011-S2A, Class B,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">2.06%, 6/15/17 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">645</TD>

   <TD COLSPAN="2" STYLE="text-align: right">644,880</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: center">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>


<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Asset-Backed Securities</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Asset-Backed Securities (concluded)</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Santander Drive Auto Receivables Trust</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">(concluded):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Series 2011-S2A, Class C,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left; width: 56%">2.86%, 6/15/17 (a)</TD>

   <TD STYLE="width: 13%; text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">668</TD>

   <TD STYLE="width: 4%; text-align: left; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right"> 666,948</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Series 2012-3, Class D,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">3.64%, 5/15/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,865</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,867,783</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">SLC Student Loan Trust, Series</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">2006-A, Class A4, 0.59%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">1/15/19 (c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,169</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,164,333</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Spirit Issuer Plc, Series A2, 3.73%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">12/28/31</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">GBP</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,800</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,858,687</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">37,118,884</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="3" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Interest Only Asset-Backed Securities &#8212; 0.3%</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Sterling Bank Trust, Series 2004-2,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.2pt; text-align: left">Class Note, 2.08%, 3/30/30 (a) USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">11,873</TD>

   <TD COLSPAN="2" STYLE="text-align: right">905,281</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Sterling Coofs Trust, Series 1,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">2.36%, 4/15/29</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">10,799</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">843,651</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,748,932</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: left; font-weight: bold">Total Asset-Backed Securities &#8211; 6.2%</TD>

   <TD STYLE="border-bottom: #000000 2px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right">38,867,816</TD></TR>

<TR> <TD COLSPAN="5" STYLE="border-bottom: rgb(57,76,135) 4pt solid">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Shares</b></TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Common Stocks (d)</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Auto Components &#8212; 1.3%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">Delphi Automotive Plc</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">267,741</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">7,772,519</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Construction &amp; Engineering &#8212; 0.0%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">USI United Subcontractors</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">6,116</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">12,231</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Diversified Financial Services &#8212; 0.4%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">Kcad Holdings I Ltd.</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right">&nbsp;</TD>
   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">300,277,327</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,380,298</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Hotels, Restaurants &amp; Leisure &#8212; 0.1%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">BLB Worldwide Holdings, Inc.</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">51,947</TD>

   <TD COLSPAN="2" STYLE="text-align: right">618,169</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Travelport Worldwide Ltd.</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">176,501</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">88,251</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">706,420</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Metals &amp; Mining &#8212; 0.0%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">Euramax International</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">234</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">67,773</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Software &#8212; 0.0%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Bankruptcy Management</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Solutions, Inc. (d)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">880</TD>

   <TD COLSPAN="2" STYLE="text-align: right">26</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">HMH Holdings/EduMedia (d)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">238,664</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,387</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,413</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: Black 2px solid; text-align: left; font-weight: bold">Total Common Stocks &#8211; 1.8%</TD>

   <TD STYLE="border-bottom: Black 2px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: Black 2px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right">10,941,654</TD></TR>                                                                                                   <TR STYLE="vertical-align: bottom">
   <TD STYLE="text-align: left; font-weight: bold">&nbsp;</TD>
   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>
   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>
   <TD COLSPAN="2" STYLE="text-align: right">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
   <TD STYLE="border-bottom: rgb(57,76,135) 4pt solid">&nbsp;</TD>
   <TD STYLE="border-bottom: rgb(57,76,135) 4pt solid">&nbsp;</TD>
   <TD STYLE="border-bottom: rgb(57,76,135) 4pt solid">&nbsp;</TD>
   <TD COLSPAN="2" STYLE="border-bottom: rgb(57,76,135) 4pt solid">&nbsp;</TD></TR>
</TABLE></DIV>

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

<P style="TEXT-ALIGN: left"></P></DIV>
<!-- Field: Page; Sequence: 2; Options: NewSection; Value: 1 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-top: 12pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD NOWRAP STYLE="text-align: left; width: 33%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->1<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_2"></A><BR>

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<DIV align=left>

<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>
<TR vAlign=bottom>
   <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 12pt; color: rgb(57,76,135); width: 56%"><FONT STYLE="font-size: 12pt; color: #000080">Consolidated Schedule of Investments </FONT><FONT color=#000080 STYLE="font-size: 9pt">(continued)</FONT></TD>
   <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: bold 8pt Arial, Helvetica, Sans-Serif; width: 43%"><FONT STYLE="font-size: 8pt; color: #000080"><B>BlackRock Limited Duration Income Trust (BLW)<BR>
   (Percentages shown are based on Net Assets)</B></FONT></TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: center">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Corporate Bonds</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Aerospace &amp; Defense &#8212; 0.4%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Huntington Ingalls Industries, Inc.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left; width: 56%">7.13%, 3/15/21</TD>

   <TD STYLE="text-indent: 3.48pt; text-align: center; vertical-align: bottom; width: 13%">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">650</TD>

   <TD STYLE="width: 4%; text-align: left; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right"> 674,375</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Kratos Defense &amp; Security</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Solutions, Inc., 10.00%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">6/01/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,966</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,083,960</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,758,335</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Airlines &#8212; 1.4%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Continental Airlines, Inc., 6.75%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">9/15/15 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,350</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,360,125</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Delta Air Lines, Inc., Series 2009-</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">1, Class B, 9.75%, 6/17/18 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">262</TD>

   <TD COLSPAN="2" STYLE="text-align: right">280,685</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">United Air Lines, Inc., 12.75%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">7/15/12 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,455</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,479,752</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">US Airways Pass Through Trust:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Series 2011-1, Class C, Series</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">2011-1, Class C, 10.88%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">10/22/14</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,599</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,646,811</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Series 2012-1, Class C,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">9.13%, 10/01/15 (e)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,706</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,706,000</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">8,473,373</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Auto Components &#8212; 0.4%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Baker Corp. International, Inc.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">8.25%, 6/01/19 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">240</TD>

   <TD COLSPAN="2" STYLE="text-align: right">240,000</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Jaguar Land Rover Plc, 8.25%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">3/15/20</TD>

   <TD STYLE="text-indent: 0pt; text-align: center; vertical-align: bottom">GBP</TD>

   <TD STYLE="text-align: right; padding-right: 9">554</TD>

   <TD COLSPAN="2" STYLE="text-align: right">837,602</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Titan International, Inc., 7.88%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">10/01/17 (b)</TD>

   <TD STYLE="text-indent: 0pt; text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,330</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,376,550</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,454,152</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Beverages &#8212; 0.3%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Crown European Holdings SA:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">7.13%, 8/15/18 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">EUR</TD>

   <TD STYLE="text-align: right; padding-right: 9">716</TD>

   <TD COLSPAN="2" STYLE="text-align: right">945,094</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">7.13%, 8/15/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">657</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">867,217</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,812,311</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Building Products &#8212; 0.4%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Building Materials Corp. of America</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">(a)(b):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">7.00%, 2/15/20</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,345</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,412,250</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">6.75%, 5/01/21</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,030</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,053,175</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,465,425</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Capital Markets &#8212; 1.1%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">American Capital Ltd., 7.96%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">12/31/13 (e)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,675</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,679,707</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Deutsche Bank AG, 1.67%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">3/09/17</TD>

   <TD STYLE="text-indent: 0pt; text-align: center; vertical-align: bottom">EUR</TD>

   <TD STYLE="text-align: right; padding-right: 9">816</TD>

   <TD COLSPAN="2" STYLE="text-align: right">871,258</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">E*Trade Financial Corp.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">12.50%, 11/30/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,515</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,885,962</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">2.36%, 8/31/19 (a)(f)(g)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">249</TD>

   <TD COLSPAN="2" STYLE="text-align: right">210,094</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">SteelRiver Transmission Co. LLC,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">4.71%, 6/30/17 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,224</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,272,021</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: right">6,919,042</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par <BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Corporate Bonds</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Chemicals &#8212; 2.7%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">American Pacific Corp., 9.00%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left; width: 56%">2/01/15</TD>

   <TD STYLE="text-indent: 3.48pt; text-align: center; vertical-align: bottom; width: 13%">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">1,100</TD>

   <TD STYLE="width: 4%; text-align: left; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right"> 1,094,500</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Celanese US Holdings LLC, 5.88%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">6/15/21 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">805</TD>

   <TD COLSPAN="2" STYLE="text-align: right">839,212</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Hexion US Finance Corp.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">6.63%, 4/15/20 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">755</TD>

   <TD COLSPAN="2" STYLE="text-align: right">764,437</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">9.00%, 11/15/20</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">735</TD>

   <TD COLSPAN="2" STYLE="text-align: right">641,288</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Huntsman International LLC,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">8.63%, 3/15/21</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">655</TD>

   <TD COLSPAN="2" STYLE="text-align: right">733,600</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Ineos Finance Plc (a):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">8.38%, 2/15/19 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,665</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,710,787</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">7.50%, 5/01/20</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,015</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,004,850</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Ineos Group Holdings Plc, 8.50%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">2/15/16 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">345</TD>

   <TD COLSPAN="2" STYLE="text-align: right">311,363</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Kinove German Bondco GmbH,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">9.63%, 6/15/18 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,000</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,022,500</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">LyondellBasell Industries NV,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">5.75%, 4/15/24 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,520</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,583,000</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Nova Chemicals Corp., 8.38%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">11/01/16 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">5,500</TD>

   <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: right">6,056,875</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">16,762,412</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Commercial Banks &#8212; 2.4%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">CIT Group, Inc. (b):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">5.25%, 4/01/14 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,614</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,677,245</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">4.75%, 2/15/15 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,409</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,396,955</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">5.00%, 5/15/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">890</TD>

   <TD COLSPAN="2" STYLE="text-align: right">874,425</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">5.50%, 2/15/19 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,040</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,983,900</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">HSBC Bank Plc, 3.10%, 5/24/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">(a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,560</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,640,361</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">HSBC Holdings Plc, 6.25%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">3/19/18</TD>

   <TD STYLE="text-indent: 0pt; text-align: center; vertical-align: bottom">EUR</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,000</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,352,672</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Nordea Bank AB, 4.50%, 3/26/20</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,020</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,238,627</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Regions Financial Corp., 4.88%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">4/26/13 (b)</TD>

   <TD STYLE="text-indent: 0pt; text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">907</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">920,605</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">15,084,790</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Commercial Services &amp; Supplies &#8212; 1.0%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">ARAMARK Corp., 8.50%, 2/01/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">980</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,003,285</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">ARAMARK Holdings Corp., 8.63%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">5/01/16 (a)(h)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">890</TD>

   <TD COLSPAN="2" STYLE="text-align: right">910,034</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Brickman Group Holdings, Inc.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">9.13%, 11/01/18 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">63</TD>

   <TD COLSPAN="2" STYLE="text-align: right">60,480</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Covanta Holding Corp., 6.38%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">10/01/22 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,130</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,171,673</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Iron Mountain, Inc., 7.75%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">10/01/19 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">610</TD>

   <TD COLSPAN="2" STYLE="text-align: right">649,650</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Mead Products LLC/ACCO Brands</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Corp., 6.75%, 4/30/20 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">600</TD>

   <TD COLSPAN="2" STYLE="text-align: right">616,500</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Mobile Mini, Inc., 7.88%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">12/01/20 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">915</TD>

   <TD COLSPAN="2" STYLE="text-align: right">960,750</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Verisure Holding AB:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">8.75%, 9/01/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">EUR</TD>

   <TD STYLE="text-align: right; padding-right: 9">526</TD>

   <TD COLSPAN="2" STYLE="text-align: right">609,749</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">8.75%, 12/01/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">221</TD>

   <TD COLSPAN="2" STYLE="text-align: right">228,178</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">West Corp., 8.63%, 10/01/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">165</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">172,012</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; border-bottom: Black 1px solid">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom; border-bottom: Black 1px solid">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9; border-bottom: Black 1px solid">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: right; border-bottom: Black 1px solid">6,382,311</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P></DIV>
<!-- Field: Page; Sequence: 3; Value: 1 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-top: 12pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD NOWRAP STYLE="text-align: left; width: 33%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->2<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_3"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>
<TR vAlign=bottom>
   <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 12pt; color: rgb(57,76,135); width: 56%"><FONT STYLE="font-size: 12pt; color: #000080">Consolidated Schedule of Investments </FONT><FONT color=#000080 STYLE="font-size: 9pt">(continued)</FONT></TD>
   <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: bold 8pt Arial, Helvetica, Sans-Serif; width: 43%"><FONT STYLE="font-size: 8pt; color: #000080"><B>BlackRock Limited Duration Income Trust (BLW)<BR>
   (Percentages shown are based on Net Assets)</B></FONT></TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par <BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Corporate Bonds</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Communications Equipment &#8212; 0.2%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; width: 56%">Avaya, Inc., 9.75%, 11/01/15 (b)</TD>

   <TD STYLE="text-indent: 3.47pt; text-align: center; vertical-align: bottom; width: 13%">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">510</TD>

   <TD STYLE="width: 4%; text-align: left; vertical-align: bottom">$ </TD>
   <TD STYLE="width: 11%; text-align: right">420,750</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Hughes Satellite Systems Corp.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">6.50%, 6/15/19 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">850</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">862,750</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,283,500</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Construction Materials &#8212; 0.4%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">HD Supply, Inc., 8.13%, 4/15/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.19pt; text-align: left">(a)(b)</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">2,400</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,502,000</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Consumer Finance &#8212; 1.0%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Ford Motor Credit Co. LLC (b):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">7.80%, 6/01/12</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,665</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,665,000</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">3.88%, 1/15/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,475</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,578,119</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">7.00%, 4/15/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">400</TD>

   <TD COLSPAN="2" STYLE="text-align: right">449,000</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Hyundai Capital America, 3.75%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">4/06/16 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,285</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,318,799</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">6,010,918</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Containers &amp; Packaging &#8212; 0.5%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Ardagh Packaging Finance Plc:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">7.38%, 10/15/17 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">EUR</TD>

   <TD STYLE="text-align: right; padding-right: 9">587</TD>

   <TD COLSPAN="2" STYLE="text-align: right">747,601</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">7.38%, 10/15/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">100</TD>

   <TD COLSPAN="2" STYLE="text-align: right">127,359</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Berry Plastics Corp.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">4.34%, 9/15/14 (c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">700</TD>

   <TD COLSPAN="2" STYLE="text-align: right">685,125</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">8.25%, 11/15/15 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">490</TD>

   <TD COLSPAN="2" STYLE="text-align: right">518,175</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">9.75%, 1/15/21</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">670</TD>

   <TD COLSPAN="2" STYLE="text-align: right">696,800</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Beverage Packaging Holdings</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Luxembourg II SA, 8.00%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">12/15/16</TD>

   <TD STYLE="text-indent: 0pt; text-align: center; vertical-align: bottom">EUR</TD>

   <TD STYLE="text-align: right; padding-right: 9">223</TD>

   <TD COLSPAN="2" STYLE="text-align: right">242,651</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Sealed Air Corp., 8.38%, 9/15/21</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">(a)(b)</TD>

   <TD STYLE="text-indent: 0pt; text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">295</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">324,500</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">3,342,211</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Diversified Financial Services &#8212; 4.7%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Ally Financial, Inc. (b):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">8.30%, 2/12/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,460</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,632,200</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">7.50%, 9/15/20</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,630</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,788,925</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">8.00%, 11/01/31</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,140</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,407,500</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">8.00%, 11/01/31</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">950</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,061,781</TD></TR>


<TR vAlign=bottom>

   <TD STYLE="text-align: left">Banque Paribas, 6.95%, 7/22/13 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,100</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,165,262</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">CNG Holdings, Inc., 9.38%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">5/15/20 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">700</TD>

   <TD COLSPAN="2" STYLE="text-align: right">703,500</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">DPL, Inc., 7.25%, 10/15/21 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">255</TD>

   <TD COLSPAN="2" STYLE="text-align: right">277,312</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">The Goldman Sachs Group, Inc. (b):</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">5.13%, 1/15/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,515</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,623,322</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">3.30%, 5/03/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,285</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,237,305</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Intesa Sanpaolo SpA, 2.38%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">12/21/12 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,335</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,237,748</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Morgan Stanley (b):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">5.25%, 11/02/12</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">795</TD>

   <TD COLSPAN="2" STYLE="text-align: right">804,424</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">5.30%, 3/01/13</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">825</TD>

   <TD COLSPAN="2" STYLE="text-align: right">841,500</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Reynolds Group Issuer, Inc.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">7.75%, 10/15/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">EUR</TD>

   <TD STYLE="text-align: right; padding-right: 9">165</TD>

   <TD COLSPAN="2" STYLE="text-align: right">209,633</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">7.13%, 4/15/19 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,990</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,044,725</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">9.88%, 8/15/19 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,855</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,850,362</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">6.88%, 2/15/21 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,475</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,497,125</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">8.50%, 2/15/21 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">220</TD>

   <TD COLSPAN="2" STYLE="text-align: right">204,050</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center; vertical-align: bottom"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Corporate Bonds</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Diversified Financial Services (concluded)</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">SLM Corp., Series A, 5.00%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left; width: 56%">10/01/13</TD>

   <TD STYLE="text-align: center; vertical-align: bottom; width: 13%">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">150</TD>

   <TD STYLE="width: 4%; text-align: left; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right">153,188</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">WMG Acquisition Corp., 9.50%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">6/15/16 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">280</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">298,900</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">29,038,762</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="3" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Diversified Telecommunication Services &#8212; 1.5%</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">ITC Deltacom, Inc., 10.50%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">4/01/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,350</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,420,875</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Level 3 Financing, Inc.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">4.51%, 2/15/15 (b)(c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,725</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,643,063</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">8.13%, 7/01/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,083</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,083,000</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Qwest Communications</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">International, Inc., 8.00%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">10/01/15 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,500</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,640,762</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Windstream Corp., 8.13%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">8/01/13</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">590</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">620,975</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">9,408,675</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="3" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Electronic Equipment, Instruments &amp; Components &#8212; 1.2%</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Agilent Technologies, Inc., 4.45%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.2pt; text-align: left">9/14/12 (b)</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">7,325</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">7,397,876</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Energy Equipment &amp; Services &#8212; 1.8%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Calfrac Holdings LP, 7.50%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">12/01/20 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,105</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,038,700</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Compagnie G&#233;n&#233;rale de G&#233;ophysique</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Veritas:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">7.75%, 5/15/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">330</TD>

   <TD COLSPAN="2" STYLE="text-align: right">339,900</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">6.50%, 6/01/21</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,115</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,072,700</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Frac Tech Services LLC, 8.13%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">11/15/18 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,690</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,673,100</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Gulfmark Offshore, Inc., 6.38%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">3/15/22 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">185</TD>

   <TD COLSPAN="2" STYLE="text-align: right">185,925</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Hornbeck Offshore Services, Inc.,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">5.88%, 4/01/20 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">375</TD>

   <TD COLSPAN="2" STYLE="text-align: right">367,500</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Key Energy Services, Inc., 6.75%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">3/01/21 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,040</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,043,900</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Oil States International, Inc.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">6.50%, 6/01/19 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">725</TD>

   <TD COLSPAN="2" STYLE="text-align: right">748,563</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Peabody Energy Corp., 6.25%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">11/15/21 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,085</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,079,787</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Transocean, Inc., (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">4.95%, 11/15/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,040</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,122,827</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">5.05%, 12/15/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">180</TD>

   <TD COLSPAN="2" STYLE="text-align: right">196,548</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">6.00%, 3/15/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">230</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">259,188</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">11,128,638</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Food &amp; Staples Retailing &#8212; 0.1%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Bakkavor Finance 2 Plc, 8.25%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">2/15/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">GBP</TD>

   <TD STYLE="text-align: right; padding-right: 9">105</TD>

   <TD COLSPAN="2" STYLE="text-align: right">131,888</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Rite Aid Corp., 9.25%, 3/15/20 (a) </TD>
   <TD STYLE="text-align: center">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">615</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">588,863</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">720,751</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Food Products &#8212; 0.2%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Constellation Brands, Inc., 6.00%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left; border-bottom: Black 1px solid">5/01/22 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom; border-bottom: Black 1px solid">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9; border-bottom: Black 1px solid">660</TD>

   <TD COLSPAN="2" STYLE="text-align: right; border-bottom: Black 1px solid">701,250</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P></DIV>
<!-- Field: Page; Sequence: 4; Value: 1 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-top: 12pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD NOWRAP STYLE="text-align: left; width: 33%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->3<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_4"></A><BR>

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<DIV align=left>

<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>
<TR vAlign=bottom>
   <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 12pt; color: rgb(57,76,135); width: 56%"><FONT STYLE="font-size: 12pt; color: #000080">Consolidated Schedule of Investments </FONT><FONT color=#000080 STYLE="font-size: 9pt">(continued)</FONT></TD>
   <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: bold 8pt Arial, Helvetica, Sans-Serif; width: 43%"><FONT STYLE="font-size: 8pt; color: #000080"><B>BlackRock Limited Duration Income Trust (BLW)<BR>
   (Percentages shown are based on Net Assets)</B></FONT></TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: center">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Corporate Bonds</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Food Products (concluded)</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Post Holdings, Inc., 7.38%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left; width: 56%">2/15/22 (a)(b)</TD>

   <TD STYLE="text-indent: 0pt; text-align: center; vertical-align: bottom; width: 13%">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">370</TD>

   <TD STYLE="width: 4%; text-align: left; border-bottom: #000000 1px solid; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right; border-bottom: #000000 1px solid"> 376,475</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: Black 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; text-align: right">1,077,725</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Gas Utilities &#8212; 0.3%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Florida Gas Transmission Co. LLC,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.19pt; text-align: left">4.00%, 7/15/15 (a)(b)</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">2,000</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,110,672</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Health Care Equipment &amp; Supplies &#8212; 1.2%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Bausch &amp; Lomb, Inc., 9.88%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">11/01/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">170</TD>

   <TD COLSPAN="2" STYLE="text-align: right">178,075</TD></TR>


<TR vAlign=bottom>

   <TD STYLE="text-align: left">Biomet, Inc., 10.38%, 10/15/17 (h)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,165</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,239,997</TD></TR>


<TR vAlign=bottom>

   <TD STYLE="text-align: left">CareFusion Corp., 5.13%, 8/01/14 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,000</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,226,041</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">DJO Finance LLC:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">10.88%, 11/15/14</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">587</TD>

   <TD COLSPAN="2" STYLE="text-align: right">597,272</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">8.75%, 3/15/18 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">300</TD>

   <TD COLSPAN="2" STYLE="text-align: right">301,500</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">7.75%, 4/15/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">540</TD>

   <TD COLSPAN="2" STYLE="text-align: right">436,050</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Fresenius Medical Care US</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Finance II, Inc., 5.63%, 7/31/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">(a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">960</TD>

   <TD COLSPAN="2" STYLE="text-align: right">952,800</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Teleflex, Inc., 6.88%, 6/01/19 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">675</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">715,500</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">7,647,235</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Health Care Providers &amp; Services &#8212; 2.7%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Aviv Healthcare Properties LP:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">7.75%, 2/15/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">645</TD>

   <TD COLSPAN="2" STYLE="text-align: right">670,800</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">7.75%, 2/15/19 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">350</TD>

   <TD COLSPAN="2" STYLE="text-align: right">360,500</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Crown Newco 3 Plc, 7.00%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">2/15/18</TD>

   <TD STYLE="text-indent: 0pt; text-align: center; vertical-align: bottom">GBP</TD>

   <TD STYLE="text-align: right; padding-right: 9">541</TD>

   <TD COLSPAN="2" STYLE="text-align: right">794,184</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">HCA, Inc. (b):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">6.50%, 2/15/20</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,845</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,005,031</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">5.88%, 3/15/22</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">4,210</TD>

   <TD COLSPAN="2" STYLE="text-align: right">4,178,425</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">IASIS Healthcare LLC, 8.38%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">5/15/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,375</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,292,500</TD></TR>


<TR vAlign=bottom>

   <TD STYLE="text-align: left">Omnicare, Inc., 7.75%, 6/01/20 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,135</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,245,663</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Tenet Healthcare Corp.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">10.00%, 5/01/18 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,032</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,456,480</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">8.88%, 7/01/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">395</TD>

   <TD COLSPAN="2" STYLE="text-align: right">439,438</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">United Surgical Partners</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">International, Inc., 9.00%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">4/01/20 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">590</TD>

   <TD COLSPAN="2" STYLE="text-align: right">612,125</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Vanguard Health Holding Co. II</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">LLC, 7.75%, 2/01/19 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">800</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">784,000</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">16,839,146</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Health Care Technology &#8212; 0.8%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">IMS Health, Inc., 12.50%, 3/01/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.19pt; text-align: left">(a)(b)</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">4,300</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">5,031,000</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Hotels, Restaurants &amp; Leisure &#8212; 2.9%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Affinity Gaming LLC/Affinity</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Gaming Finance Corp., 9.00%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">5/15/18 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">330</TD>

   <TD COLSPAN="2" STYLE="text-align: right">330,000</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Caesars Entertainment Operating</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Co., Inc., 11.25%, 6/01/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">300</TD>

   <TD COLSPAN="2" STYLE="text-align: right">318,750</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par <BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center; vertical-align: bottom"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Corporate Bonds</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Hotels, Restaurants &amp; Leisure (concluded)</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Caesars Operating Escrow LLC.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left; width: 56%">8.50%, 2/15/20 (a)(b)</TD>

   <TD STYLE="text-indent: 0pt; text-align: center; vertical-align: bottom; width: 13%">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">1,400</TD>

   <TD STYLE="width: 4%; text-align: left; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right">1,394,750</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Carlson Wagonlit BV, 6.88%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">6/15/19 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">370</TD>

   <TD COLSPAN="2" STYLE="text-align: right">368,150</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Enterprise Inns Plc:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">6.50%, 12/06/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">GBP</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,232</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,628,129</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">6.88%, 2/15/21</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,070</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,312,956</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Gategroup Finance Luxembourg</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">SA, 6.75%, 3/01/19</TD>

   <TD STYLE="text-indent: 0pt; text-align: center; vertical-align: bottom">EUR</TD>

   <TD STYLE="text-align: right; padding-right: 9">290</TD>

   <TD COLSPAN="2" STYLE="text-align: right">350,517</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Spirit Issuer Plc (c):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">1.58%, 12/28/28</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">GBP</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,325</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,279,674</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">5.47%, 12/28/34</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">4,500</TD>

   <TD COLSPAN="2" STYLE="text-align: right">4,993,488</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Travelport LLC, 6.47%, 12/01/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">(a)(h)</TD>

   <TD STYLE="text-indent: 0pt; text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">946</TD>

   <TD COLSPAN="2" STYLE="text-align: right">683,502</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Tropicana Entertainment LLC,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">9.63%, 12/15/14 (d)(i)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">375</TD>

   <TD COLSPAN="2" STYLE="text-align: right">&#8212;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Wynn Las Vegas LLC, 5.38%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">3/15/22 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,410</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,365,938</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">18,025,854</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Household Durables &#8212; 0.9%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Beazer Homes USA, Inc., 12.00%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">10/15/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,325</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,505,188</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Berkline/Benchcraft LLC, 4.50%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">11/03/12 (d)(i)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">200</TD>

   <TD COLSPAN="2" STYLE="text-align: right">&#8212;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Libbey Glass, Inc., 6.88%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">5/15/20 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">250</TD>

   <TD COLSPAN="2" STYLE="text-align: right">250,625</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Spie BondCo 3 SCA, 11.00%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">8/15/19</TD>

   <TD STYLE="text-indent: 0pt; text-align: center; vertical-align: bottom">EUR</TD>

   <TD STYLE="text-align: right; padding-right: 9">348</TD>

   <TD COLSPAN="2" STYLE="text-align: right">407,711</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Standard Pacific Corp., 8.38%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">1/15/21</TD>

   <TD STYLE="text-indent: 0pt; text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,400</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,568,000</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">5,731,524</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="3" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Independent Power Producers &amp; Energy Traders &#8212; 2.8%</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">AES Corp.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">7.75%, 10/15/15 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,440</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,708,400</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">9.75%, 4/15/16 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">710</TD>

   <TD COLSPAN="2" STYLE="text-align: right">832,475</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">7.38%, 7/01/21 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">185</TD>

   <TD COLSPAN="2" STYLE="text-align: right">199,800</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Calpine Corp. (a)(b):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">7.25%, 10/15/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">405</TD>

   <TD COLSPAN="2" STYLE="text-align: right">427,275</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">7.50%, 2/15/21</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">530</TD>

   <TD COLSPAN="2" STYLE="text-align: right">553,850</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Energy Future Holdings Corp.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">10.00%, 1/15/20 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,805</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,980,312</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Energy Future Intermediate Holding Co.</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">LLC (b):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">10.00%, 12/01/20</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">5,970</TD>

   <TD COLSPAN="2" STYLE="text-align: right">6,432,675</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">11.75%, 3/01/22 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,495</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,524,900</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Laredo Petroleum, Inc.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">9.50%, 2/15/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">655</TD>

   <TD COLSPAN="2" STYLE="text-align: right">727,050</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">7.38%, 5/01/22 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">590</TD>

   <TD COLSPAN="2" STYLE="text-align: right">603,275</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">QEP Resources, Inc., 5.38%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">10/01/22 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">476</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">465,290</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">17,455,302</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Industrial Conglomerates &#8212; 1.5%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Sequa Corp. (a):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">11.75%, 12/01/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,950</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,130,688</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P></DIV>
<!-- Field: Page; Sequence: 5; Value: 1 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-top: 12pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD NOWRAP STYLE="text-align: left; width: 33%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->4<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_5"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>
<TR vAlign=bottom>
   <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 12pt; color: rgb(57,76,135); width: 56%"><FONT STYLE="font-size: 12pt; color: #000080">Consolidated Schedule of Investments </FONT><FONT color=#000080 STYLE="font-size: 9pt">(continued)</FONT></TD>
   <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: bold 8pt Arial, Helvetica, Sans-Serif; width: 43%"><FONT STYLE="font-size: 8pt; color: #000080"><B>BlackRock Limited Duration Income Trust (BLW)<BR>
   (Percentages shown are based on Net Assets)</B></FONT></TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: center">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Corporate Bonds</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Industrial Conglomerates (concluded)</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Sequa Corp. (a) (concluded):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left; width: 56%">13.50%, 12/01/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom; width: 13%">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">5,870</TD>

   <TD STYLE="width: 4%; text-align: left; border-bottom: #000000 1px solid; vertical-align: bottom">$ </TD>
   <TD STYLE="width: 11%; text-align: right; border-bottom: #000000 1px solid">6,229,536</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">9,360,224</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Insurance &#8212; 1.9%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Allied World Assurance Co.</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>


<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Holdings, Ltd., 7.50%, 8/01/16 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,000</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,462,669</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">American International Group, Inc.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">3.00%, 3/20/15 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,120</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,150,723</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">CNO Financial Group, Inc., 9.00%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">1/15/18 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,353</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,494,180</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Forethought Financial Group, Inc.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">8.63%, 4/15/21 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">750</TD>

   <TD COLSPAN="2" STYLE="text-align: right">779,479</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Genworth Financial, Inc., 7.63%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">9/24/21 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">990</TD>

   <TD COLSPAN="2" STYLE="text-align: right">960,754</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">MPL 2 Acquisition Canco, Inc.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">9.88%, 8/15/18 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">595</TD>

   <TD COLSPAN="2" STYLE="text-align: right">511,700</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Muenchener Rueckversicherungs</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">AG, 6.00%, 5/26/41 (c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">EUR</TD>

   <TD STYLE="text-align: right; padding-right: 9">400</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">474,683</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">11,834,188</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">IT Services &#8212; 0.6%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Epicor Software Corp., 8.63%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">5/01/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,260</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,263,150</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">First Data Corp.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">7.38%, 6/15/19 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,175</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,175,000</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">8.25%, 1/15/21 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">90</TD>

   <TD COLSPAN="2" STYLE="text-align: right">87,300</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">12.63%, 1/15/21</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,018</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">959,465</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">3,484,915</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Machinery &#8212; 0.7%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">UR Financing Escrow Corp. (a):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">5.75%, 7/15/18 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,244</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,265,770</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">7.38%, 5/15/20</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">805</TD>

   <TD COLSPAN="2" STYLE="text-align: right">825,125</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">7.63%, 4/15/22</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,518</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,574,655</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">4,665,550</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Media &#8212; 6.2%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">AMC Networks, Inc., 7.75%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">7/15/21 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">525</TD>

   <TD COLSPAN="2" STYLE="text-align: right">582,750</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">CCH II LLC, 13.50%, 11/30/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">4,106</TD>

   <TD COLSPAN="2" STYLE="text-align: right">4,598,763</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">CCO Holdings LLC, 7.88%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">4/30/18 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,095</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,174,387</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Cengage Learning Acquisitions,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Inc., 11.50%, 4/15/20 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,000</TD>

   <TD COLSPAN="2" STYLE="text-align: right">997,500</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Checkout Holding Corp., 7.65%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">11/15/15 (a)(f)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,570</TD>

   <TD COLSPAN="2" STYLE="text-align: right">612,300</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Clear Channel Communications,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Inc., 9.00%, 3/01/21</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,045</TD>

   <TD COLSPAN="2" STYLE="text-align: right">898,700</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Clear Channel Worldwide Holdings, Inc.:</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">9.25%, 12/15/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">933</TD>

   <TD COLSPAN="2" STYLE="text-align: right">998,310</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">7.63%, 3/15/20 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,860</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,731,300</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Series B, 9.25%, 12/15/17 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">5,007</TD>

   <TD COLSPAN="2" STYLE="text-align: right">5,382,525</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">DIRECTV Holdings LLC, 3.13%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">2/15/16 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,000</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,122,829</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">DISH DBS Corp. (b):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">7.00%, 10/01/13</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,267</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,336,685</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: center">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Corporate Bonds</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Media (concluded)</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">DISH DBS Corp. (b)(concluded):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left; width: 56%">7.13%, 2/01/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom; width: 13%">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">200</TD>

   <TD STYLE="width: 4%; text-align: left; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right"> 214,000</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">5.88%, 7/15/22 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">795</TD>

   <TD COLSPAN="2" STYLE="text-align: right">775,125</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Intelsat Jackson Holdings SA,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">7.25%, 10/15/20 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,950</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,935,375</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Intelsat Luxemburg SA:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">11.25%, 2/04/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">360</TD>

   <TD COLSPAN="2" STYLE="text-align: right">353,700</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">11.50%, 2/04/17 (h)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">280</TD>

   <TD COLSPAN="2" STYLE="text-align: right">275,100</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Interactive Data Corp., 10.25%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">8/01/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,210</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,447,575</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Lamar Media Corp., 5.88%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">2/01/22 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">675</TD>

   <TD COLSPAN="2" STYLE="text-align: right">679,219</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">NAI Entertainment Holdings LLC,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">8.25%, 12/15/17 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,445</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,575,050</TD></TR>


<TR vAlign=bottom>

   <TD STYLE="text-align: left">ProQuest LLC, 9.00%, 10/15/18 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">600</TD>

   <TD COLSPAN="2" STYLE="text-align: right">516,000</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">ProtoStar I Ltd., 18.00%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">10/15/12 (a)(d)(g)(i)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,454</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,727</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Truven Health Analytics, Inc.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">10.63%, 6/01/20 (a)(j)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">540</TD>

   <TD COLSPAN="2" STYLE="text-align: right">531,900</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Unitymedia Hessen GmbH &amp; Co. KG:</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">8.13%, 12/01/17 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">4,090</TD>

   <TD COLSPAN="2" STYLE="text-align: right">4,314,950</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">7.50%, 3/15/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,440</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,519,222</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Virgin Media Secured Finance Plc,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">6.50%, 1/15/18 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,000</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,090,000</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">38,664,992</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Metals &amp; Mining &#8212; 1.9%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Eco-Bat Finance Plc, 7.75%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">2/15/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">EUR</TD>

   <TD STYLE="text-align: right; padding-right: 9">495</TD>

   <TD COLSPAN="2" STYLE="text-align: right">590,645</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">FMG Resources August 2006 Property</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Ltd. (a):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">6.88%, 2/01/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">615</TD>

   <TD COLSPAN="2" STYLE="text-align: right">604,238</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">6.88%, 4/01/22 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,135</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,092,438</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Global Brass and Copper, Inc.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">9.50%, 6/01/19 (a)(j)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">695</TD>

   <TD COLSPAN="2" STYLE="text-align: right">701,950</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Kaiser Aluminum Corp., 8.25%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">6/01/20 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">510</TD>

   <TD COLSPAN="2" STYLE="text-align: right">512,550</TD></TR>


<TR vAlign=bottom>

   <TD STYLE="text-align: left">New Gold, Inc., 7.00%, 4/15/20 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">175</TD>

   <TD COLSPAN="2" STYLE="text-align: right">178,500</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">New World Resources NV, 7.88%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">5/01/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">EUR</TD>

   <TD STYLE="text-align: right; padding-right: 9">995</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,134,968</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Novelis, Inc., 8.75%, 12/15/20 (b) </TD>
   <TD STYLE="text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,875</TD>

   <TD COLSPAN="2" STYLE="text-align: right">4,097,812</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Schmolz + Bickenbach</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Luxembourg SA, 9.88%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">5/15/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">EUR</TD>

   <TD STYLE="text-align: right; padding-right: 9">365</TD>

   <TD COLSPAN="2" STYLE="text-align: right">433,270</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Xstrata Canada Financial Corp.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">2.85%, 11/10/14 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,450</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,507,009</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">11,853,380</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Oil, Gas &amp; Consumable Fuels &#8212; 7.0%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Alpha Natural Resources, Inc. (b):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">6.00%, 6/01/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">305</TD>

   <TD COLSPAN="2" STYLE="text-align: right">272,975</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">6.25%, 6/01/21</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">835</TD>

   <TD COLSPAN="2" STYLE="text-align: right">743,150</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Berry Petroleum Co., 6.38%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">9/15/22</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">485</TD>

   <TD COLSPAN="2" STYLE="text-align: right">494,700</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P></DIV>
<!-- Field: Page; Sequence: 6; Value: 1 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-top: 12pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD NOWRAP STYLE="text-align: left; width: 33%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->5<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV align=left>

<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>
<TR vAlign=bottom>
   <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 12pt; color: rgb(57,76,135); width: 56%"><FONT STYLE="font-size: 12pt; color: #000080">Consolidated Schedule of Investments </FONT><FONT color=#000080 STYLE="font-size: 9pt">(continued)</FONT></TD>
   <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: bold 8pt Arial, Helvetica, Sans-Serif; width: 43%"><FONT STYLE="font-size: 8pt; color: #000080"><B>BlackRock Limited Duration Income Trust (BLW)<BR>
   (Percentages shown are based on Net Assets)</B></FONT></TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: center">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Corporate Bonds</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Oil, Gas &amp; Consumable Fuels (continued)</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">BP Capital Markets Plc, 5.25%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; width: 56%; text-align: left">11/07/13 (b)</TD>

   <TD STYLE="width: 13%; text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">6,000</TD>

   <TD STYLE="width: 4%; text-align: left; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right"> 6,362,148</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">CCS, Inc., 11.00%, 11/15/15 (a)</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,310</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,355,850</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Chaparral Energy, Inc., 7.63%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">11/15/22 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">305</TD>

   <TD COLSPAN="2" STYLE="text-align: right">311,863</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Chesapeake Energy Corp. (b):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">6.88%, 11/15/20</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">405</TD>

   <TD COLSPAN="2" STYLE="text-align: right">383,738</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">6.13%, 2/15/21</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">620</TD>

   <TD COLSPAN="2" STYLE="text-align: right">582,800</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Chesapeake Midstream Partners</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">LP, 6.13%, 7/15/22 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">510</TD>

   <TD COLSPAN="2" STYLE="text-align: right">484,500</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Chesapeake Oilfield Operating LLC,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">6.63%, 11/15/19 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">5</TD>

   <TD COLSPAN="2" STYLE="text-align: right">4,325</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Coffeyville Resources LLC, 9.00%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">4/01/15 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">274</TD>

   <TD COLSPAN="2" STYLE="text-align: right">291,810</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Concho Resources, Inc., 5.50%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">10/01/22 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">560</TD>

   <TD COLSPAN="2" STYLE="text-align: right">550,200</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Consol Energy, Inc., 8.25%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">4/01/20 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,150</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,150,000</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Crosstex Energy LP, 8.88%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">2/15/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">135</TD>

   <TD COLSPAN="2" STYLE="text-align: right">141,750</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Denbury Resources, Inc., 8.25%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">2/15/20</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">71</TD>

   <TD COLSPAN="2" STYLE="text-align: right">76,680</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Everest Acquisition LLC/Everest</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Acquisition Finance, Inc. (a):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">6.88%, 5/01/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">455</TD>

   <TD COLSPAN="2" STYLE="text-align: right">466,375</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">9.38%, 5/01/20</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">345</TD>

   <TD COLSPAN="2" STYLE="text-align: right">353,625</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Forest Oil Corp., 8.50%, 2/15/14</TD>

   <TD STYLE="text-align: right; padding-right: 9">125</TD>

   <TD COLSPAN="2" STYLE="text-align: right">131,250</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Holly Energy Partners LP, 6.50%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">3/01/20 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">215</TD>

   <TD COLSPAN="2" STYLE="text-align: right">213,925</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Kinder Morgan Energy Partners LP,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">5.95%, 2/15/18 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,215</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,746,337</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Kodiak Oil &amp; Gas Corp., 8.13%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">12/01/19 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,045</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,076,350</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Linn Energy LLC:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">6.25%, 11/01/19 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,400</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,286,000</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">8.63%, 4/15/20</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">515</TD>

   <TD COLSPAN="2" STYLE="text-align: right">545,900</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">7.75%, 2/01/21</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">695</TD>

   <TD COLSPAN="2" STYLE="text-align: right">710,637</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Oasis Petroleum, Inc.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">7.25%, 2/01/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">475</TD>

   <TD COLSPAN="2" STYLE="text-align: right">489,250</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">6.50%, 11/01/21</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">410</TD>

   <TD COLSPAN="2" STYLE="text-align: right">410,000</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Offshore Group Investments Ltd.:</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">11.50%, 8/01/15 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">560</TD>

   <TD COLSPAN="2" STYLE="text-align: right">596,400</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">11.50%, 8/01/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">445</TD>

   <TD COLSPAN="2" STYLE="text-align: right">473,925</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">OGX Petroleo e Gas Participacoes SA (a):</TD>
   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>


<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">8.50%, 6/01/18 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">7,230</TD>

   <TD COLSPAN="2" STYLE="text-align: right">6,958,875</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">8.38%, 4/01/22</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">805</TD>

   <TD COLSPAN="2" STYLE="text-align: right">762,737</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">PetroBakken Energy Ltd., 8.63%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">2/01/20 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,760</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,786,400</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Petrohawk Energy Corp., 7.25%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">8/15/18 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">740</TD>

   <TD COLSPAN="2" STYLE="text-align: right">843,394</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Plains Exploration &amp; Production</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Co., 6.75%, 2/01/22</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">110</TD>

   <TD COLSPAN="2" STYLE="text-align: right">108,900</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Range Resources Corp. (b):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">5.75%, 6/01/21</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,735</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,787,050</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">5.00%, 8/15/22</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">805</TD>

   <TD COLSPAN="2" STYLE="text-align: right">772,800</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: center">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Corporate Bonds</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Oil, Gas &amp; Consumable Fuels (concluded)</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Ruby Pipeline LLC, 4.50%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left; width: 56%">4/01/17 (a)(b)</TD>

   <TD STYLE="text-indent: 0pt; text-align: center; vertical-align: bottom; width: 13%">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">1,215</TD>

   <TD STYLE="width: 4%; text-align: left; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right"> 1,232,730</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Samson Investment Co., 9.75%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">2/15/20 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">380</TD>

   <TD COLSPAN="2" STYLE="text-align: right">378,100</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">SandRidge Energy, Inc.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">7.50%, 3/15/21</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">320</TD>

   <TD COLSPAN="2" STYLE="text-align: right">310,400</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">8.13%, 10/15/22 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">290</TD>

   <TD COLSPAN="2" STYLE="text-align: right">285,650</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">SESI LLC (b):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">6.38%, 5/01/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">755</TD>

   <TD COLSPAN="2" STYLE="text-align: right">792,750</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">7.13%, 12/15/21 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">745</TD>

   <TD COLSPAN="2" STYLE="text-align: right">812,050</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">SM Energy Co., 6.50%, 11/15/21</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">605</TD>

   <TD COLSPAN="2" STYLE="text-align: right">618,612</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Targa Resources Partners LP,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">6.88%, 2/01/21 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">690</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">710,700</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">43,867,611</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Paper &amp; Forest Products &#8212; 0.4%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Longview Fibre Paper &amp; Packaging,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Inc., 8.00%, 6/01/16 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">395</TD>

   <TD COLSPAN="2" STYLE="text-align: right">392,038</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">NewPage Corp., 11.38%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">12/31/14 (d)(i)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,445</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,135,900</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,527,938</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Pharmaceuticals &#8212; 0.7%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Aristotle Holding, Inc., 2.65%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">2/15/17 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,710</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,759,197</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Valeant Pharmaceuticals</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">International, 6.50%, 7/15/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">(a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,260</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,285,200</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">4,044,397</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Real Estate Investment Trusts (REITs) &#8212; 0.5%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Felcor Lodging LP, 6.75%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">6/01/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,610</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,614,025</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Ventas Realty LP/Ventas Capital</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Corp., 4.75%, 6/01/21 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,300</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,358,673</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,972,698</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="3" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Real Estate Management &amp; Development &#8212; 1.4%</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Punch Taverns Finance Plc, Series</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">A2R, 6.82%, 7/15/20</TD>

   <TD STYLE="text-indent: 0pt; text-align: center; vertical-align: bottom">GBP</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,230</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,705,831</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Realogy Corp.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">11.50%, 4/15/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">215</TD>

   <TD COLSPAN="2" STYLE="text-align: right">190,275</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">12.00%, 4/15/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">225</TD>

   <TD COLSPAN="2" STYLE="text-align: right">199,125</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">7.88%, 2/15/19 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,865</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,721,750</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">7.63%, 1/15/20 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,425</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,464,188</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">9.00%, 1/15/20 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">480</TD>

   <TD COLSPAN="2" STYLE="text-align: right">480,000</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Shea Homes LP, 8.63%, 5/15/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,750</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,824,375</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">8,585,544</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Road &amp; Rail &#8212; 1.2%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Asciano Finance Ltd., 3.13%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">9/23/15 (a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,400</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,391,867</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Avis Budget Car Rental LLC,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">8.25%, 1/15/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">60</TD>

   <TD COLSPAN="2" STYLE="text-align: right">62,100</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Florida East Coast Railway Corp.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">8.13%, 2/01/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">530</TD>

   <TD COLSPAN="2" STYLE="text-align: right">543,250</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">The Hertz Corp.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">7.50%, 10/15/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">540</TD>

   <TD COLSPAN="2" STYLE="text-align: right">562,275</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P></DIV>
<!-- Field: Page; Sequence: 7; Value: 1 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-top: 12pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD NOWRAP STYLE="text-align: left; width: 33%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->6<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_7"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>
<TR vAlign=bottom>
   <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 12pt; color: rgb(57,76,135); width: 56%"><FONT STYLE="font-size: 12pt; color: #000080">Consolidated Schedule of Investments </FONT><FONT color=#000080 STYLE="font-size: 9pt">(continued)</FONT></TD>
   <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: bold 8pt Arial, Helvetica, Sans-Serif; width: 43%"><FONT STYLE="font-size: 8pt; color: #000080"><B>BlackRock Limited Duration Income Trust (BLW)<BR>
   (Percentages shown are based on Net Assets)</B></FONT></TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: center">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Corporate Bonds</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Road &amp; Rail (concluded)</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">The Hertz Corp. (concluded):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; width: 56%; text-align: left">6.75%, 4/15/19</TD>

   <TD STYLE="width: 13%; text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">375</TD>

   <TD STYLE="width: 4%; text-align: left; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right"> 383,438</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">6.75%, 4/15/19 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">405</TD>

   <TD COLSPAN="2" STYLE="text-align: right">414,112</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">7.38%, 1/15/21</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,160</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,265,300</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">7,622,342</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Software &#8212; 0.3%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Lawson Software, Inc., 9.38%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.19pt; text-align: left">4/01/19 (a)</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">2,060</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,121,800</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Specialty Retail &#8212; 0.3%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Claire's Stores, Inc., 9.00%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">3/15/19 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">605</TD>

   <TD COLSPAN="2" STYLE="text-align: right">605,000</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Sally Holdings LLC (b):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">6.88%, 11/15/19 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">920</TD>

   <TD COLSPAN="2" STYLE="text-align: right">979,800</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">5.75%, 6/01/22</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">425</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">429,781</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,014,581</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Textiles, Apparel &amp; Luxury Goods &#8212; 0.1%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Levi Strauss &amp; Co., 6.88%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.19pt; text-align: left">5/01/22 (a)</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">380</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">377,150</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Tobacco &#8212; 0.5%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Reynolds American, Inc., 7.63%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.19pt; text-align: left">6/01/16 (b)</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">2,500</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">3,018,408</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Transportation Infrastructure &#8212; 0.9%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Aguila 3 SA, 7.88%, 1/31/18 (a)</TD>

   <TD STYLE="text-align: right; padding-right: 9">498</TD>

   <TD COLSPAN="2" STYLE="text-align: right">507,960</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Federal Express Corp. 2012 Pass</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.19pt; text-align: left">Through Trust, 2.63%, 1/15/18</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">(a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,468</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,465,169</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Penske Truck Leasing Co. LP / PTL</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; text-indent: 7.19pt">Finance Corp., 3.13%, 5/11/15</TD>
   <TD STYLE="text-align: left; text-indent: 7.19pt">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">(a)(b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,372</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">3,397,779</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">5,370,908</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Wireless Telecommunication Services &#8212; 2.5%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Cricket Communications, Inc.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">7.75%, 5/15/16 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,250</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,373,750</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Crown Castle Towers LLC, 4.52%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">1/15/35 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,000</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,153,171</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Digicel Group Ltd. (a):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">8.88%, 1/15/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">720</TD>

   <TD COLSPAN="2" STYLE="text-align: right">709,200</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">9.13%, 1/15/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,267</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,232,995</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">8.25%, 9/01/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,335</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,341,675</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Sprint Capital Corp., 6.88%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">11/15/28 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,470</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,091,475</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Sprint Nextel Corp. (a)(b):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">9.00%, 11/15/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,070</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,323,275</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">7.00%, 3/01/20</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,620</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,632,150</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">15,857,691</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: left; font-weight: bold">Total Corporate Bonds &#8211; 61.9%</TD>

   <TD STYLE="border-bottom: Black 2px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: Black 2px solid; text-align: right">386,108,257</TD></TR>                                                                                                  <TR STYLE="vertical-align: bottom">
   <TD COLSPAN="2" STYLE="border-bottom: rgb(57,76,135) 4pt solid">&nbsp;</TD>
   <TD STYLE="border-bottom: rgb(57,76,135) 4pt solid">&nbsp;</TD>
   <TD COLSPAN="2" STYLE="border-bottom: rgb(57,76,135) 4pt solid">&nbsp;</TD></TR>
</TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: center">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Floating Rate Loan Interests (c)</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Aerospace &amp; Defense &#8212; 0.2%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">TransDigm, Inc., Term Loan (First</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.2pt; text-align: left; width: 56%">Lien), 4.00%, 2/14/17</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 3.48pt; text-align: center; vertical-align: bottom; width: 13%">USD</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9; width: 14%">1,161</TD>

   <TD STYLE="width: 4%; text-align: left; border-bottom: #000000 1px solid; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right; border-bottom: #000000 1px solid"> 1,151,333</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Airlines &#8212; 0.1%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Delta Air Lines, Inc., Credit - New</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.2pt; text-align: left">Term Loan B, 5.50%, 4/20/17</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">691</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">687,213</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Auto Components &#8212; 1.7%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Allison Transmission, Inc., Term</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Loan B, 2.74%, 8/07/14</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,027</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,967,957</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">August LuxUK Holding Co. Sarl,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Luxco Term Loan, 6.25%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">4/27/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">277</TD>

   <TD COLSPAN="2" STYLE="text-align: right">277,647</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Autoparts Holdings Ltd.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Term Loan (First Lien), 6.50%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">7/28/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">995</TD>

   <TD COLSPAN="2" STYLE="text-align: right">962,662</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Term Loan (Second Lien),</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">10.50%, 1/29/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,500</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,357,500</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Federal-Mogul Corp., Term Loan B,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">2.18%, 12/29/14</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,466</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,378,201</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">The Goodyear Tire &amp; Rubber</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Company, Term Loan (Second</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Lien), 4.75%, 4/30/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,560</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,478,413</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Schaeffler AG, Term Loan C2,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">6.00%, 1/27/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,335</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,328,325</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">10,750,705</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Beverages &#8212; 0.0%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Le-Nature's, Inc., Tranche B Term</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.2pt; text-align: left">Loan, 0.00%, 3/01/11 (d)(g)(i)</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">1,000</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">100</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Biotechnology &#8212; 0.2%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Grifols, Inc., Term Loan B, 4.50%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.2pt; text-align: left">6/01/17</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">1,310</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,291,873</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Building Products &#8212; 1.5%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Armstrong World Industries, Inc.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Term Loan B, 4.00%, 3/09/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,268</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,252,351</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">CPG International, Inc., Term Loan</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">B, 6.00%, 2/18/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">988</TD>

   <TD COLSPAN="2" STYLE="text-align: right">950,469</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Goodman Global, Inc.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Initial Term Loan (First Lien),</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">5.75%, 10/28/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">4,421</TD>

   <TD COLSPAN="2" STYLE="text-align: right">4,404,878</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Term Loan (Second Lien),</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">9.00%, 10/30/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,145</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,155,191</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Momentive Performance Materials,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Inc. (Nautilus), Extended Term</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Loan, 3.89%, 5/05/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">EUR</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,512</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,717,510</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">United Subcontractors, Inc., Term</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Loan (First Lien), 4.58%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">6/30/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">157</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">140,911</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">9,621,310</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Capital Markets &#8212; 0.7%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">HarbourVest Partners, Term Loan</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">(First Lien), 6.25%, 12/16/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,198</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,198,248</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Nuveen Investments, Inc.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">(First Lien), Term Loan, 5.97%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">5/13/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">198</TD>

   <TD COLSPAN="2" STYLE="text-align: right">194,215</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P></DIV>
<!-- Field: Page; Sequence: 8; Value: 1 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-top: 12pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD NOWRAP STYLE="text-align: left; width: 33%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->7<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_8"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>
<TR vAlign=bottom>
   <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 12pt; color: rgb(57,76,135); width: 56%"><FONT STYLE="font-size: 12pt; color: #000080">Consolidated Schedule of Investments </FONT><FONT color=#000080 STYLE="font-size: 9pt">(continued)</FONT></TD>
   <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: bold 8pt Arial, Helvetica, Sans-Serif; width: 43%"><FONT STYLE="font-size: 8pt; color: #000080"><B>BlackRock Limited Duration Income Trust (BLW)<BR>
   (Percentages shown are based on Net Assets)</B></FONT></TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: center">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Floating Rate Loan Interests (c)</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Capital Markets (concluded)</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Nuveen Investments, Inc. (concluded):</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Incremental Term Loan,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left; width: 56%">7.25%, 5/13/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom; width: 13%">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">790</TD>

   <TD STYLE="width: 4%; text-align: left; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right"> 788,025</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Term Loan, 5.97%, 5/12/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,137</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,120,606</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">4,301,094</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Chemicals &#8212; 2.2%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">American Rock Salt Holdings LLC,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Term Loan, 5.50%, 4/25/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">995</TD>

   <TD COLSPAN="2" STYLE="text-align: right">943,157</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Chemtura Corp., Exit Term Loan B,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">5.50%, 8/27/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,100</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,099,087</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Gentek, Inc., Term Loan B, 5.00% -</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">5.75%, 10/06/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">563</TD>

   <TD COLSPAN="2" STYLE="text-align: right">562,393</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Ineos US Finance LLC, 6 year Term</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Loan, 6.50%, 5/04/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">4,840</TD>

   <TD COLSPAN="2" STYLE="text-align: right">4,740,586</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">MDI Holdings LLC, Tranche C Term</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Loan, 2.58%, 4/11/14</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">EUR</TD>

   <TD STYLE="text-align: right; padding-right: 9">439</TD>

   <TD COLSPAN="2" STYLE="text-align: right">535,527</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Nexeo Solutions LLC, Term Loan B,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">5.00% - 5.75%, 9/08/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,287</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,253,216</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">PQ Corp., Term Loan B, 3.99%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">7/30/14</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,103</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,017,051</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Styron Sarl LLC, Term Loan B,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">6.00% - 6.75%, 8/02/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">621</TD>

   <TD COLSPAN="2" STYLE="text-align: right">553,585</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Tronox Worldwide LLC, Term Loan</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">B, 4.25%, 2/08/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">782</TD>

   <TD COLSPAN="2" STYLE="text-align: right">768,105</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Univar, Inc., Term Loan B, 5.00%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">6/30/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,031</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,002,055</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">13,474,762</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Commercial Services &amp; Supplies &#8212; 2.0%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">ACCO Brands Corp., Term Loan B,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">4.25%, 4/30/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">955</TD>

   <TD COLSPAN="2" STYLE="text-align: right">954,006</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Altegrity, Inc., Tranche D Term</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Loan, 7.75%, 2/20/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,395</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,366,688</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">AWAS Finance Luxembourg Sarl,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Term Loan B, 5.25%, 6/10/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,097</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,091,820</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Delos Aircraft, Inc., Term Loan B2,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">4.75%, 4/12/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,450</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,448,188</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">KAR Auction Services, Inc., Term</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Loan B, 5.00%, 5/19/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,489</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,485,028</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Protection One Alarm Monitoring,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Inc., Term Loan, 5.75%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">3/16/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">830</TD>

   <TD COLSPAN="2" STYLE="text-align: right">823,426</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Synagro Technologies, Inc., Term</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Loan B, 2.24%, 4/02/14</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,138</TD>

   <TD COLSPAN="2" STYLE="text-align: right">992,545</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Volume Services America, Inc.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Term Loan B, 10.50% - 11.75%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">9/16/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,561</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,546,069</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">12,707,770</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Communications Equipment &#8212; 1.7%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Avaya, Inc.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Term Loan B1, 3.22%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">10/24/14</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,369</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,289,169</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: center">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>


<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Floating Rate Loan Interests (c)</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Communications Equipment (concluded)</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Avaya, Inc. (concluded):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Term Loan B3, 4.97%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left; width: 56%">10/26/17</TD>

   <TD STYLE="text-indent: 3.47pt; text-align: center; vertical-align: bottom; width: 13%">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">628</TD>

   <TD STYLE="width: 4%; text-align: left; vertical-align: bottom">$ </TD>
   <TD STYLE="width: 11%; text-align: right">553,728</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">CommScope, Inc., Term Loan B,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">4.25%, 1/12/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,238</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,228,986</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Telesat Canada, Term Loan A,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">4.38%, 3/24/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">CAD</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,940</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,671,637</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Telesat LLC, Term Loan B, 4.25%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">3/26/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,725</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">3,675,122</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">10,418,642</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Construction &amp; Engineering &#8212; 0.6%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Safway Services LLC, First Out</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.2pt; text-align: left">Tranche Loan, 9.00%, 12/16/17</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">3,750</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">3,750,000</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Construction Materials &#8212; 0.4%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">HD Supply, Inc., Senior Debt B,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.2pt; text-align: left">7.25%, 10/12/17</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">2,340</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,349,360</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Consumer Finance &#8212; 0.1%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Springleaf Finance Corp., Term</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.2pt; text-align: left">Loan, 5.50%, 5/10/17</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">925</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">852,924</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Containers &amp; Packaging &#8212; 0.1%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Sealed Air Corp., Term Loan B,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.2pt; text-align: left">4.75%, 10/03/18</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">609</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">609,607</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Diversified Consumer Services &#8212; 1.7%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Coinmach Service Corp., Term</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Loan B, 3.24%, 11/20/14</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">4,560</TD>

   <TD COLSPAN="2" STYLE="text-align: right">4,240,357</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Education Management LLC, Term</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Loan C3, 8.25%, 3/29/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,395</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,365,705</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Laureate Education, Inc., Extended</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Term Loan, 5.25%, 8/15/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,565</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,415,335</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">ServiceMaster Co.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Delayed Draw Term Loan,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">2.74%, 7/24/14</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">128</TD>

   <TD COLSPAN="2" STYLE="text-align: right">124,505</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Term Loan, 2.74% - 2.99%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">7/24/14</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,285</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,250,300</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">10,396,202</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Diversified Financial Services &#8212; 0.5%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Reynolds Group Holdings, Inc.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Tranche C Term Loan, 6.50%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.2pt; text-align: left">8/09/18</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">2,845</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,852,600</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="3" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Diversified Telecommunication Services &#8212; 1.4%</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Hawaiian Telcom Communications,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Inc., Term Loan B, 7.00%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">2/28/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,755</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,730,869</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Level 3 Financing, Inc.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Term Loan B2, 5.75%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">9/03/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,400</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,377,296</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Term Loan B3, 5.75%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">8/31/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,800</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,773,512</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Tranche A Term Loan, 2.49% -</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">2.72%, 3/13/14</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,150</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,118,858</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P></DIV>
<!-- Field: Page; Sequence: 9; Value: 1 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-top: 12pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD NOWRAP STYLE="text-align: left; width: 33%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->8<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
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<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>
<TR vAlign=bottom>
   <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 12pt; color: rgb(57,76,135); width: 56%"><FONT STYLE="font-size: 12pt; color: #000080">Consolidated Schedule of Investments </FONT><FONT color=#000080 STYLE="font-size: 9pt">(continued)</FONT></TD>
   <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: bold 8pt Arial, Helvetica, Sans-Serif; width: 43%"><FONT STYLE="font-size: 8pt; color: #000080"><B>BlackRock Limited Duration Income Trust (BLW)<BR>
   (Percentages shown are based on Net Assets)</B></FONT></TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: center">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Floating Rate Loan Interests (c)</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="3" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Diversified Telecommunication Services (concluded)</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">U.S. Telepacific Corp., Term Loan</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left; width: 56%">B, 5.75%, 2/23/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom; width: 13%">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">498</TD>

   <TD STYLE="width: 4%; text-align: left; border-bottom: #000000 1px solid; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right; border-bottom: #000000 1px solid">468,505</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">8,469,040</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Electric Utilities &#8212; 0.0%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">TPF Generation Holdings LLC,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.19pt; text-align: left">Synthetic Letter of Credit Deposit</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 7.19pt; text-align: left">(First Lien), 2.47%, 12/13/13</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">47</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">46,897</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="3" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Electronic Equipment, Instruments &amp; Components &#8212; 0.2%</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Sensata Technologies Finance Co.</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">LLC, Term Loan, 4.00%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.19pt; text-align: left">5/11/18</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">1,177</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,157,984</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Energy Equipment &amp; Services &#8212; 1.7%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Dynegy Midwest Generation LLC,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Coal Co. Term Loan, 9.25%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">8/04/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,320</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,365,308</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Dynegy Power LLC, Gas Co. Term</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Loan, 9.25%, 8/04/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">4,247</TD>

   <TD COLSPAN="2" STYLE="text-align: right">4,375,843</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">MEG Energy Corp., Term Loan B,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">4.00%, 3/16/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,990</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,966,200</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Tervita Corp. (FKA CCS Corp.),</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.19pt; text-align: left">Term Loan B, 3.24%, 11/14/14</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,835</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,759,738</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">10,467,089</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Food &amp; Staples Retailing &#8212; 0.1%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">US Foods, Inc. (FKA US</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.19pt; text-align: left">Foodservice, Inc.), Term Loan B,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.19pt; text-align: left">2.74%, 7/03/14</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">346</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">333,717</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Food Products &#8212; 0.9%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Advance Pierre Foods:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.4pt; text-align: left">Term Loan (First Lien), 7.00%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">9/30/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,032</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,034,236</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Term Loan (Second Lien),</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">11.25%, 9/29/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,300</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,306,903</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Del Monte Corp., Term Loan,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">4.50%, 3/08/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">951</TD>

   <TD COLSPAN="2" STYLE="text-align: right">926,417</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Pinnacle Foods Finance LLC, Term</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Loan E, 4.75%, 10/17/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,132</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,122,914</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Solvest Ltd. (Dole):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Tranche B-2 Term Loan,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">5.00% - 6.00%, 7/06/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">97</TD>

   <TD COLSPAN="2" STYLE="text-align: right">96,617</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.4pt; text-align: left">Tranche C-2 Term Loan, 5.00%</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">- 6.00%, 7/06/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">174</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">172,894</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">5,659,981</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Health Care Equipment &amp; Supplies &#8212; 0.9%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Bausch &amp; Lomb, Inc., Term Loan B,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">5.25%, 5/17/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,055</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,017,928</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">DJO Finance LLC, Term Loan B3,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">6.25%, 9/15/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,170</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,143,786</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Hupah Finance Inc., Term Loan B,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">6.25%, 1/21/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,000</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,003,130</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Immucor, Inc., Term Loan B,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">7.25%, 8/17/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">648</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">646,412</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">5,811,256</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: center">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Floating Rate Loan Interests (c)</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Health Care Providers &amp; Services &#8212; 2.0%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Ardent Health Services, Term Loan</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left; width: 56%">(First Lien), 6.50%, 9/15/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom; width: 13%">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">1</TD>

   <TD STYLE="width: 4%; text-align: left; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right"> 1,272</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">ConvaTec, Inc., Term Loan, 5.75%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">12/22/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,258</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,248,651</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">DaVita, Inc., Term Loan B, 4.50%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">10/20/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,975</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,962,222</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Emergency Medical Services, Term</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.2pt; text-align: left">Loan, 5.25% - 6.00%, 5/25/18</TD>

   <TD STYLE="text-align: right; padding-right: 9">632</TD>

   <TD COLSPAN="2" STYLE="text-align: right">623,257</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Harden Healthcare LLC:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.4pt; text-align: left">Term Loan A, 8.50%, 3/02/15</TD>

   <TD STYLE="text-align: right; padding-right: 9">533</TD>

   <TD COLSPAN="2" STYLE="text-align: right">521,879</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Tranche A Additional Term</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">Loan, 7.75%, 3/02/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,210</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,145,572</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">inVentiv Health, Inc.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.4pt; text-align: left">Combined Term Loan, 6.50%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">8/04/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">569</TD>

   <TD COLSPAN="2" STYLE="text-align: right">532,703</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.4pt; text-align: left">Incremental Term Loan B-3,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">6.75%, 5/15/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">433</TD>

   <TD COLSPAN="2" STYLE="text-align: right">410,334</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Medpace, Inc., Term Loan, 6.50% -</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">7.25%, 6/16/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,829</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,715,480</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Wolverine Healthcare, Term Loan</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">B, 1.00%, 5/12/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,190</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,170,663</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">12,332,033</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Health Care Technology &#8212; 0.2%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">IMS Health, Inc., Term Loan B,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">4.50%, 8/25/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">903</TD>

   <TD COLSPAN="2" STYLE="text-align: right">895,095</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Kinetic Concepts, Inc., Term Loan</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">B, 7.00%, 5/04/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">618</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">621,932</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,517,027</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Hotels, Restaurants &amp; Leisure &#8212; 2.9%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Alpha D2 Ltd.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.4pt; text-align: left">Term Loan B, 5.75%, 4/28/17</TD>

   <TD STYLE="text-align: right; padding-right: 9">980</TD>

   <TD COLSPAN="2" STYLE="text-align: right">977,344</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.4pt; text-align: left">Term Loan B, 1.00%, 6/08/18</TD>

   <TD STYLE="text-align: right; padding-right: 9">610</TD>

   <TD COLSPAN="2" STYLE="text-align: right">603,644</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Caesars Entertainment Operating Co.,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Inc.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Extended Term Loan B6,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">5.49%, 1/26/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">470</TD>

   <TD COLSPAN="2" STYLE="text-align: right">413,675</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Incremental Term Loan B4,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">9.50%, 10/31/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,234</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,241,495</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Term Loan B1, 3.24%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">1/28/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,104</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,920,119</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.4pt; text-align: left">Term Loan B3, 3.24% - 3.47%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">1/28/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">6,407</TD>

   <TD COLSPAN="2" STYLE="text-align: right">5,845,959</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Dunkin' Brands, Inc., Term Loan B,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">4.00%, 11/23/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,610</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,590,188</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">OSI Restaurant Partners LLC:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Revolver, 2.72%, 6/14/13</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">43</TD>

   <TD COLSPAN="2" STYLE="text-align: right">42,412</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.4pt; text-align: left">Term Loan B, 2.56%, 6/14/14</TD>

   <TD STYLE="text-align: right; padding-right: 9">113</TD>

   <TD COLSPAN="2" STYLE="text-align: right">110,823</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Sabre, Inc., Non Extended Initial</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Term Loan, 2.24%, 9/30/14</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">675</TD>

   <TD COLSPAN="2" STYLE="text-align: right">641,392</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">SeaWorld Parks &amp; Entertainment,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Inc., Term Loan B, 4.00%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">8/17/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">857</TD>

   <TD COLSPAN="2" STYLE="text-align: right">844,407</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Six Flags Theme Parks, Inc.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Tranche B Term Loan (First</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Lien), 4.25%, 12/20/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,155</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,142,630</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P></DIV>
<!-- Field: Page; Sequence: 10; Value: 1 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-top: 12pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD NOWRAP STYLE="text-align: left; width: 33%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->9<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_10"></A><BR>

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<DIV align=left>

<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>
<TR vAlign=bottom>
   <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 12pt; color: rgb(57,76,135); width: 56%"><FONT STYLE="font-size: 12pt; color: #000080">Consolidated Schedule of Investments </FONT><FONT color=#000080 STYLE="font-size: 9pt">(continued)</FONT></TD>
   <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: bold 8pt Arial, Helvetica, Sans-Serif; width: 43%"><FONT STYLE="font-size: 8pt; color: #000080"><B>BlackRock Limited Duration Income Trust (BLW)<BR>
   (Percentages shown are based on Net Assets)</B></FONT></TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: center">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Floating Rate Loan Interests (c)</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Hotels, Restaurants &amp; Leisure (concluded)</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Travelport LLC:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Extended Tranche A Term</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left; width: 56%">Loan, 6.47%, 9/28/12</TD>

   <TD STYLE="text-align: center; vertical-align: bottom; width: 13%">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">435</TD>

   <TD STYLE="width: 4%; text-align: left; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right">169,777</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Extended Tranche B Term</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 21.59pt; text-align: left">Loan, 13.97%, 12/01/16</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,378</TD>

   <TD COLSPAN="2" STYLE="text-align: right">137,751</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Twin River Worldwide Holdings,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Inc., Term Loan, 8.50%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">11/05/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,282</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,282,731</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Wendy's International, Inc.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Delayed Draw Term Loan,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">0.50%, 5/15/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">593</TD>

   <TD COLSPAN="2" STYLE="text-align: right">584,683</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.4pt; text-align: left">Term Loan B, 4.75%, 5/15/19</TD>

   <TD STYLE="text-align: right; padding-right: 9">742</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">732,682</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">18,281,712</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Household Durables &#8212; 0.0%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Berkline/Benchcraft LLC, Term</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-indent: 7.19pt; text-align: left">Loan B, 14.00%, 11/03/11 (d)(i)</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">161</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">40,978</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Household Products &#8212; 0.1%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Prestige Brands, Inc., Term Loan,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.19pt; text-align: left">5.25% - 6.25%, 1/31/19</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">894</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">893,814</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="3" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Independent Power Producers &amp; Energy Traders &#8212; 0.2%</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">The AES Corp., Term Loan, 4.25%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.19pt; text-align: left">6/01/18</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">1,485</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,467,002</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Industrial Conglomerates &#8212; 0.4%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Schrader International, Term Loan</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">B, 6.25%, 4/26/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">213</TD>

   <TD COLSPAN="2" STYLE="text-align: right">213,578</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Sequa Corp.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Incremental Term Loan,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">6.25%, 12/03/14</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">339</TD>

   <TD COLSPAN="2" STYLE="text-align: right">338,302</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.39pt; text-align: left">Term Loan, 3.72%, 12/03/14</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,324</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,278,924</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,830,804</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Insurance &#8212; 0.2%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Asurion LLC, Term Loan (First</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.19pt; text-align: left">Lien), 5.50%, 5/24/18</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">1,512</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,486,958</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Internet Software &amp; Services &#8212; 0.1%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Web.com Group, Inc., Term Loan B,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.19pt; text-align: left">7.00%, 10/27/17</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">981</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">969,799</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">IT Services &#8212; 2.2%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Ceridian Corp., Term Loan, 3.24%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">11/10/14</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,352</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,277,255</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">First Data Corp.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.39pt; text-align: left">Extended Term Loan B, 4.24%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">3/23/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">5,739</TD>

   <TD COLSPAN="2" STYLE="text-align: right">5,184,738</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Term Loan B-1, 2.99%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">9/24/14</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">860</TD>

   <TD COLSPAN="2" STYLE="text-align: right">812,876</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Term Loan B-3, 2.99%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">9/24/14</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">109</TD>

   <TD COLSPAN="2" STYLE="text-align: right">102,640</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">InfoGroup Inc., Term Loan B,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">5.75%, 5/25/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,061</TD>

   <TD COLSPAN="2" STYLE="text-align: right">944,205</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">NeuStar, Inc., Term Loan B, 5.00%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">11/08/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,045</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,049,837</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: center">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Floating Rate Loan Interests (c)</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">IT Services (concluded)</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">TransUnion LLC, Term Loan B,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left; width: 56%">5.50%, 2/12/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom; width: 13%">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">3,139</TD>

   <TD STYLE="width: 4%; text-align: left; border-bottom: #000000 1px solid; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right; border-bottom: #000000 1px solid"> 3,152,631</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">13,524,182</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Leisure Equipment &amp; Products &#8212; 0.3%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Eastman Kodak Co., DIP Term</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Loan B, 8.50%, 7/19/13</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,461</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,460,195</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Freedom Group, Inc., Term Loan,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">5.50%, 4/12/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">405</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">403,481</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,863,676</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Machinery &#8212; 1.3%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Harbor Freight Tools USA, Inc.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.2pt; text-align: left">Term Loan B, 5.50%, 11/10/17</TD>

   <TD STYLE="text-align: right; padding-right: 9">730</TD>

   <TD COLSPAN="2" STYLE="text-align: right">723,065</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Rexnord Corp., Term Loan B,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">5.00%, 4/02/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">948</TD>

   <TD COLSPAN="2" STYLE="text-align: right">941,939</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Terex Corp.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Term Loan, 6.00%, 4/28/17 </TD>
   <TD STYLE="text-align: center; vertical-align: bottom">EUR</TD>

   <TD STYLE="text-align: right; padding-right: 9">308</TD>

   <TD COLSPAN="2" STYLE="text-align: right">376,631</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Term Loan B, 5.50%, 4/28/17</TD>
   <TD STYLE="text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">995</TD>

   <TD COLSPAN="2" STYLE="text-align: right">994,383</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Tomkins LLC, Term Loan B, 4.25%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">9/29/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,152</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,140,494</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Wabash National Corp., Term Loan</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">B, 6.00%, 5/02/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,765</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,737,350</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">7,913,862</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Media &#8212; 6.7%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Affinion Group, Inc., Term Loan B,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">5.00%, 7/16/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">520</TD>

   <TD COLSPAN="2" STYLE="text-align: right">480,707</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">AMC Networks, Inc., Term Loan B,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">4.00%, 12/31/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,184</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,163,041</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Capsugel Healthcare Ltd., Term</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Loan, 5.25%, 8/01/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">680</TD>

   <TD COLSPAN="2" STYLE="text-align: right">679,851</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Cengage Learning Acquisitions,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Inc., Tranche 1 Incremental</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Term Loan, 7.50%, 7/03/14</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,031</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,943,355</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Charter Communications Operating LLC:</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.39pt; text-align: left">Term Loan C, 3.72%, 9/06/16</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,354</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,318,094</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.4pt; text-align: left">Term Loan D, 4.00%, 5/15/19</TD>

   <TD STYLE="text-align: right; padding-right: 9">917</TD>

   <TD COLSPAN="2" STYLE="text-align: right">903,535</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Clear Channel Communications, Inc.:</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.4pt; text-align: left">Term Loan B, 3.89%, 1/28/16</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,303</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,568,674</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.39pt; text-align: left">Term Loan C, 3.89%, 1/28/16</TD>

   <TD STYLE="text-align: right; padding-right: 9">783</TD>

   <TD COLSPAN="2" STYLE="text-align: right">604,600</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Cumulus Media, Inc., Term Loan,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">5.75%, 9/17/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,495</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,483,792</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">EMI Music Publishing Ltd., Term</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Loan B, 1.00%, 11/14/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">990</TD>

   <TD COLSPAN="2" STYLE="text-align: right">983,813</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">HMH Publishing Co. Ltd., Term</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Loan, 0.00%, 6/12/14 (d)(i)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,173</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,759,296</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Hubbard Broadcasting, Term Loan</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">B (Second Lien), 5.25%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">4/28/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">836</TD>

   <TD COLSPAN="2" STYLE="text-align: right">828,496</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Intelsat Jackson Holdings SA,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.2pt; text-align: left">Tranche B Term Loan, 5.25%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">4/02/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">5,445</TD>

   <TD COLSPAN="2" STYLE="text-align: right">5,396,213</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Interactive Data Corp., Term Loan</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">B, 4.50%, 2/12/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,376</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,334,420</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Kabel Deutschland GmbH, Term</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Loan F, 4.25%, 2/01/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,195</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,141,100</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P></DIV>
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    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-top: 12pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD NOWRAP STYLE="text-align: left; width: 33%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->10<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
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<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>
<TR vAlign=bottom>
   <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 12pt; color: rgb(57,76,135); width: 56%"><FONT STYLE="font-size: 12pt; color: #000080">Consolidated Schedule of Investments </FONT><FONT color=#000080 STYLE="font-size: 9pt">(continued)</FONT></TD>
   <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: bold 8pt Arial, Helvetica, Sans-Serif; width: 43%"><FONT STYLE="font-size: 8pt; color: #000080"><B>BlackRock Limited Duration Income Trust (BLW)<BR>
   (Percentages shown are based on Net Assets)</B></FONT></TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: center">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Floating Rate Loan Interests (c)</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Media (concluded)</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Lavena Holding 4 GmbH</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">(Prosiebensat.1 Media AG):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left; width: 56%">Facility B1, 3.68%, 3/06/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom; width: 13%">EUR</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">304</TD>

   <TD STYLE="width: 4%; text-align: left; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right"> 319,787</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Term Loan (Second Lien),</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">5.18%, 9/02/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">904</TD>

   <TD COLSPAN="2" STYLE="text-align: right">834,522</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Term Loan C, 4.06%, 3/04/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">304</TD>

   <TD COLSPAN="2" STYLE="text-align: right">321,666</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Newsday LLC, Fixed Rate Term</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Loan, 10.50%, 8/01/13</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">4,505</TD>

   <TD COLSPAN="2" STYLE="text-align: right">4,592,307</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Sinclair Television Group, Inc.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Tranche B Term Loan, 4.00%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">10/28/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,223</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,212,283</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Univision Communications, Inc.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Extended Term Loan, 4.49%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">3/31/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,915</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,587,434</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">UPC Broadband Holding B.V., Term</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Loan U, 4.40%, 12/29/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">EUR</TD>

   <TD STYLE="text-align: right; padding-right: 9">97</TD>

   <TD COLSPAN="2" STYLE="text-align: right">116,743</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">UPC Financing Partnership:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Term Loan, 4.75%, 12/29/17 </TD>
   <TD STYLE="text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,045</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,028,803</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Term Loan T, 3.74%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">12/30/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">355</TD>

   <TD COLSPAN="2" STYLE="text-align: right">350,119</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">WC Luxco Sarl, Term Loan B3,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">4.25%, 3/15/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">622</TD>

   <TD COLSPAN="2" STYLE="text-align: right">617,519</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Weather Channel, Term Loan B,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">4.25%, 2/13/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,097</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,088,907</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">41,659,077</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Metals &amp; Mining &#8212; 1.1%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Constellium Holding Co. BV, Term</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Loan B, 9.25%, 5/22/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">620</TD>

   <TD COLSPAN="2" STYLE="text-align: right">604,500</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Novelis, Inc.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Incremental Term Loan B2,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">4.00%, 3/10/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,479</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,426,757</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Term Loan, 4.00%, 3/10/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,308</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,235,082</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Walter Energy, Inc., Term Loan B,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">4.00%, 4/02/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">352</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">338,295</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">6,604,634</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Multiline Retail &#8212; 0.7%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">99 Cents Only Stores, Term Loan</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">B, 5.25%, 1/11/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">913</TD>

   <TD COLSPAN="2" STYLE="text-align: right">906,195</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Hema Holding BV:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Term Loan (Second Lien),</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">5.40%, 1/05/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">EUR</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,600</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,885,374</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Term Loan B, 2.40%, 7/06/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">338</TD>

   <TD COLSPAN="2" STYLE="text-align: right">393,830</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Term Loan C, 3.15%, 7/05/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">338</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">391,738</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">4,577,137</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Oil, Gas &amp; Consumable Fuels &#8212; 1.6%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Chesapeake Energy Corp.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Unsecured Term Loan, 8.50%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">12/01/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">4,610</TD>

   <TD COLSPAN="2" STYLE="text-align: right">4,524,715</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">EP Energy LLC, Term Loan B,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">6.50%, 4/24/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,180</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,180,744</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Gibson Energy, Term Loan B,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">4.75%, 6/15/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,489</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,479,445</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: center">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>


<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Floating Rate Loan Interests (c)</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Oil, Gas &amp; Consumable Fuels (concluded)</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Obsidian Natural Gas Trust, Term</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left; width: 56%">Loan, 7.00%, 11/02/15</TD>

   <TD STYLE="text-align: center; vertical-align: bottom; width: 13%">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">2,618</TD>

   <TD STYLE="width: 4%; text-align: left; border-bottom: #000000 1px solid; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right; border-bottom: #000000 1px solid"> 2,618,205</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">9,803,109</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Paper &amp; Forest Products &#8212; 0.3%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">NewPage Corp., DIP Term Loan,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">8.00%, 3/07/13 (d)(i)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,450</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,461,484</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Verso Paper Finance Holdings LLC,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Term Loan, 6.72% - 7.47%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">2/01/13 (h)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">722</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">361,247</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,822,731</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Pharmaceuticals &#8212; 0.8%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Aptalis Pharma, Inc., Term Loan B,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">5.50%, 2/10/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,481</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,432,369</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Pharmaceutical Product</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.2pt; text-align: left">Development, Inc., Term Loan B,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">6.25%, 12/05/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,732</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,732,224</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">RPI Finance Trust, Incremental</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.2pt; text-align: left">Tranche 2 Term Loan, 4.00%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">11/09/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">465</TD>

   <TD COLSPAN="2" STYLE="text-align: right">460,931</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Warner Chilcott Corp.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Term Loan B-1, 4.25%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">3/15/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">905</TD>

   <TD COLSPAN="2" STYLE="text-align: right">898,210</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Term Loan B-2, 4.25%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">3/15/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">453</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">449,105</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">4,972,839</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Professional Services &#8212; 0.2%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Emdeon, Inc., Term Loan B, 6.75%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">11/02/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">933</TD>

   <TD COLSPAN="2" STYLE="text-align: right">931,106</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">ON Assignment, Inc., Term Loan B,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">5.00%, 5/15/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">640</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">632,800</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,563,906</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Real Estate Investment Trusts (REITs) &#8212; 0.9%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">iStar Financial, Inc.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Term Loan A1, 5.00%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">6/28/13</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">5,274</TD>

   <TD COLSPAN="2" STYLE="text-align: right">5,250,782</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Term Loan A2, 7.00%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">6/30/14</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">210</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">209,475</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">5,460,257</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="3" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Real Estate Management &amp; Development &#8212; 0.8%</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Realogy Corp.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Extended Letter of Credit,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">4.49%, 10/10/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">123</TD>

   <TD COLSPAN="2" STYLE="text-align: right">112,361</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.4pt; text-align: left">Extended Term Loan, 4.49%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">10/10/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">4,773</TD>

   <TD COLSPAN="2" STYLE="text-align: right">4,350,691</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Stockbridge SBE Holdings LLC,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.2pt; text-align: left">Term Loan B, 13.00%, 5/02/17</TD>

   <TD STYLE="text-align: right; padding-right: 9">425</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">418,625</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">4,881,677</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Road &amp; Rail &#8212; 0.5%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">RailAmerica, Inc., Term Loan B,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">4.00%, 3/01/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,230</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,219,787</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P></DIV>
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<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>
<TR vAlign=bottom>
   <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 12pt; color: rgb(57,76,135); width: 56%"><FONT STYLE="font-size: 12pt; color: #000080">Consolidated Schedule of Investments </FONT><FONT color=#000080 STYLE="font-size: 9pt">(continued)</FONT></TD>
   <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: bold 8pt Arial, Helvetica, Sans-Serif; width: 43%"><FONT STYLE="font-size: 8pt; color: #000080"><B>BlackRock Limited Duration Income Trust (BLW)<BR>
   (Percentages shown are based on Net Assets)</B></FONT></TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: center">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Floating Rate Loan Interests (c)</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Road &amp; Rail (concluded)</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Road Infrastructure Investment</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">LLC, Term Loan B, 6.25%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left; width: 56%">3/30/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom; width: 13%">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">645</TD>

   <TD STYLE="width: 4%; text-align: left; border-bottom: #000000 1px solid; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right; border-bottom: #000000 1px solid"> 635,325</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,855,112</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="3" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Semiconductors &amp; Semiconductor Equipment &#8212; 0.3%</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Freescale Semiconductor, Inc.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.19pt; text-align: left">Extended Term Loan B, 4.49%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">12/01/16</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,517</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,421,670</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">NXP BV, Term Loan A-2, 5.50%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">3/03/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">402</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">395,400</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,817,070</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Software &#8212; 0.8%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Bankruptcy Management</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.19pt; text-align: left">Solutions, Inc., Term Loan (First</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Lien), 7.50%, 8/20/14</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">719</TD>

   <TD COLSPAN="2" STYLE="text-align: right">208,644</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Lawson Software, Inc., Term Loan</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">B, 6.25%, 4/05/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,115</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,110,854</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Magic Newco LLC, Term Loan</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.19pt; text-align: left">(Second Lien), 1.00%, 12/06/19</TD>

   <TD STYLE="text-align: right; padding-right: 9">565</TD>

   <TD COLSPAN="2" STYLE="text-align: right">545,694</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Sophia, LP, Term Loan B, 6.25%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">7/19/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">920</TD>

   <TD COLSPAN="2" STYLE="text-align: right">921,647</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">SS&amp;C Technologies:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Term Loan B-1, 1.00%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">5/11/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,378</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,372,334</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Term Loan B-2, 1.00%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">5/13/19</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">143</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">141,966</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">5,301,139</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Specialty Retail &#8212; 1.8%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Academy Ltd., Term Loan, 6.00%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">8/03/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,796</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,795,500</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Bass Pro Group LLC, Term Loan,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">5.25%, 6/13/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">785</TD>

   <TD COLSPAN="2" STYLE="text-align: right">782,386</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Burlington Coat Factory</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.19pt; text-align: left">Warehouse Corp., Term Loan B,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">5.50%, 2/28/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">436</TD>

   <TD COLSPAN="2" STYLE="text-align: right">431,839</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Claire's Stores, Inc., Term Loan B,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">2.99% - 3.22%, 5/29/14</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,024</TD>

   <TD COLSPAN="2" STYLE="text-align: right">952,218</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">General Nutrition Centers, Inc.,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.19pt; text-align: left">Term Loan B, 4.25%, 3/02/18</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,875</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,852,575</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Michaels Stores, Inc., Extended</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.19pt; text-align: left">Term Loan B3, 5.00%, 7/29/16</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,870</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,860,694</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Petco Animal Supplies, Inc., Term</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Loan B, 4.50%, 11/24/17</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,213</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,196,073</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Toys &#8216;R&#8217; Us Delaware, Inc.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.39pt; text-align: left">Term Loan, 6.00%, 9/01/16</TD>

   <TD STYLE="text-align: right; padding-right: 9">736</TD>

   <TD COLSPAN="2" STYLE="text-align: right">719,179</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Term Loan B3, 5.25%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">5/25/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">965</TD>

   <TD COLSPAN="2" STYLE="text-align: right">914,337</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">The Yankee Candle Co., Inc., New</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.19pt; text-align: left">Term Loan B, 5.25%, 4/02/19</TD>

   <TD STYLE="text-align: right; padding-right: 9">665</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">659,846</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; border-bottom: Black 1px solid">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom; border-bottom: Black 1px solid">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9; border-bottom: Black 1px solid">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: right; border-bottom: Black 1px solid">11,164,647</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: center">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Floating Rate Loan Interests (c)</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Textiles, Apparel &amp; Luxury Goods &#8212; 0.2%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Ascend Performance Materials</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">LLC, Term Loan B, 6.75%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.2pt; text-align: left; width: 56%">4/10/18</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom; width: 13%">USD</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9; width: 14%">1,275</TD>

   <TD STYLE="width: 4%; text-align: left; border-bottom: #000000 1px solid; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right; border-bottom: #000000 1px solid"> 1,238,879</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Wireless Telecommunication Services &#8212; 1.7%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Crown Castle International Corp.,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.2pt; text-align: left">Term Loan B, 4.00%, 1/31/19</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,017</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,002,188</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">MetroPCS Wireless, Inc., Term</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Loan B-3, 4.00%, 3/16/18</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,035</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,005,649</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Vodafone Americas Finance 2, Inc.,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.2pt; text-align: left">Term Loan, 6.88%, 8/11/15 (h)</TD>

   <TD STYLE="text-align: right; padding-right: 9">8,583</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">8,712,088</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">10,719,925</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: left; font-weight: bold">Total Floating Rate Loan Interests &#8211; 47.2%</TD>

   <TD STYLE="border-bottom: #000000 2px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right">294,725,445</TD></TR>

<TR> <TD COLSPAN="5" STYLE="border-bottom: rgb(57,76,135) 4pt solid">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Non-Agency Mortgage-Backed Securities</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Collateralized Mortgage Obligations &#8212; 3.6%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Adjustable Rate Mortgage Trust,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Series 2007-1, Class 3A21,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">5.63%, 3/25/37 (c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,756</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,672,140</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Citicorp Mortgage Securities, Inc.,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Series 2006-2, Class 1A7,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">5.75%, 4/25/36</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">638</TD>

   <TD COLSPAN="2" STYLE="text-align: right">637,944</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Countrywide Alternative Loan</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.2pt; text-align: left">Trust, Series 2005-54CB, Class</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">3A4, 5.50%, 11/25/35</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">7,141</TD>

   <TD COLSPAN="2" STYLE="text-align: right">5,700,525</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Countrywide Home Loan Mortgage Pass-</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Through Trust:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.39pt; text-align: left">Series 2005-17, Class 1A6,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">5.50%, 9/25/35</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,436</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,304,475</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Series 2006-17, Class A2,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">6.00%, 12/25/36</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">4,762</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,930,126</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Series 2007-16, Class A1,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">6.50%, 10/25/37</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,487</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,179,050</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.39pt; text-align: left">Series 2007-HY5, Class 3A1,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">5.79%, 9/25/37 (c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,003</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,369,179</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">GSR Mortgage Loan Trust, Series</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.2pt; text-align: left">2005-AR5, Class 2A3, 2.80%,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">10/25/35 (c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,473</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,862,342</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Morgan Stanley Reremic Trust,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Series 2010-R4, Class 4A,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">0.47%, 2/26/37 (a)(c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,279</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,146,076</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">22,801,857</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="3" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Commercial Mortgage-Backed Securities &#8212; 9.7%</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Banc of America Commercial Mortgage,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Inc. (c):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Series 2007-3, Class A2,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">5.80%, 6/10/49</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">966</TD>

   <TD COLSPAN="2" STYLE="text-align: right">966,794</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.4pt; text-align: left">Series 2007-4, Class A4,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.6pt; text-align: left">5.92%, 2/10/51</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,150</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,441,076</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Citigroup/Deutsche Bank</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Commercial Mortgage Trust,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Series 2007-CD4, Class A2B,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">5.21%, 12/11/49</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">335</TD>

   <TD COLSPAN="2" STYLE="text-align: right">337,933</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P></DIV>
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    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-top: 12pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD NOWRAP STYLE="text-align: left; width: 33%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->12<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
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<DIV align=left>

<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>
<TR vAlign=bottom>
   <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 12pt; color: rgb(57,76,135); width: 56%"><FONT STYLE="font-size: 12pt; color: #000080">Consolidated Schedule of Investments </FONT><FONT color=#000080 STYLE="font-size: 9pt">(continued)</FONT></TD>
   <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: bold 8pt Arial, Helvetica, Sans-Serif; width: 43%"><FONT STYLE="font-size: 8pt; color: #000080"><B>BlackRock Limited Duration Income Trust (BLW)<BR>
   (Percentages shown are based on Net Assets)</B></FONT></TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: center">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Non-Agency Mortgage-Backed Securities</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="3" STYLE="text-align: left; font-weight: bold"><FONT color=#000080>Commercial Mortgage-Backed Securities (continued)</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Credit Suisse Mortgage Capital</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Certificates:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.39pt; text-align: left">Series 2006-C5, Class AM,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left; width: 56%">5.34%, 12/15/39</TD>

   <TD STYLE="text-align: center; vertical-align: bottom; width: 13%">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">1,850</TD>

   <TD STYLE="width: 4%; text-align: left; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right"> 1,788,874</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Series 2007-C2, Class A2,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">5.45%, 1/15/49 (c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">667</TD>

   <TD COLSPAN="2" STYLE="text-align: right">672,930</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Series 2007-C3, Class A2,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">5.68%, 6/15/39 (c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">828</TD>

   <TD COLSPAN="2" STYLE="text-align: right">827,033</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Series 2007-C4, Class A3,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">5.77%, 9/15/39 (c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,815</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,930,409</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.39pt; text-align: left">Series 2007-C5, Class AAB,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">5.62%, 9/15/40 (c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,085</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,226,461</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Extended Stay America Trust,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Series 2010-ESHA, Class C,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">4.86%, 11/05/27 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,320</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,340,541</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">First Union Commercial Mortgage</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.19pt; text-align: left">Securities, Inc., Series 1997-C2,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.19pt; text-align: left">Class G, 7.50%, 11/18/29 (c)</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,310</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,468,142</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Greenwich Capital Commercial Funding</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Corp.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.39pt; text-align: left">Series 2006-GG7, Class AM,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">6.07%, 7/10/38 (c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,610</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,649,960</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.39pt; text-align: left">Series 2007-GG9, Class A4,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">5.44%, 3/10/39</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,110</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,301,166</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">GS Mortgage Securities Corp. II,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.19pt; text-align: left">Series 2006-GG6, Class AM,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">5.62%, 4/10/38 (c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,680</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,691,335</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">JPMorgan Chase Commercial Mortgage</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Securities Corp.:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.39pt; text-align: left">Series 2004-LN2, Class A2,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">5.12%, 7/15/41</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,315</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,447,309</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.39pt; text-align: left">Series 2007-CB18, Class A4,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">5.44%, 6/12/47</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,110</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,341,693</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.39pt; text-align: left">Series 2007-CB19, Class A4,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">5.92%, 2/12/49 (c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,140</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,403,072</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">LB-UBS Commercial Mortgage</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 7.19pt; text-align: left">Trust, Series 2007-C6, Class A4,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">5.86%, 7/15/40 (c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">3,395</TD>

   <TD COLSPAN="2" STYLE="text-align: right">3,847,774</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Morgan Stanley Capital I (c):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.39pt; text-align: left">Series 2007-IQ15, Class A2,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">6.04%, 6/11/49</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,007</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,005,511</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">Series 2012-C4, Class XA,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">2.71%, 3/15/45 (a)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">15,625</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,399,004</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Titan Europe Plc, Series 2006-</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>


<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">4FSX, Class A1, 9.14%, 9/03/14 (c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">GBP</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,781</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,743,856</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Wachovia Bank Commercial Mortgage</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Trust (c):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.39pt; text-align: left">Series 2007-C33, Class A2,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left">5.85%, 2/15/51</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">14,207</TD>

   <TD COLSPAN="2" STYLE="text-align: right">14,187,763</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: center">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Non-Agency Mortgage-Backed Securities</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="3" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Commercial Mortgage-Backed Securities (concluded)</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">Wachovia Bank Commercial Mortgage</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Trust (c) (concluded):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-indent: 14.39pt; text-align: left">Series 2007-C33, Class A4,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 21.59pt; text-align: left; width: 56%">5.90%, 2/15/51</TD>

   <TD STYLE="text-align: center; vertical-align: bottom; width: 13%">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">2,030</TD>

   <TD STYLE="width: 4%; text-align: left; border-bottom: #000000 1px solid; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right; border-bottom: #000000 1px solid"> 2,256,546</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">60,275,182</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="3" STYLE="text-align: left; font-weight: bold">Total Non-Agency Mortgage-Backed Securities &#8211;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 2px solid; text-align: left"><B>13.3%</B></TD>

   <TD STYLE="border-bottom: #000000 2px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 2px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right">83,077,039</TD></TR>

<TR> <TD COLSPAN="5" STYLE="border-bottom: rgb(57,76,135) 4pt solid">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Beneficial <BR>Interest <BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>


<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Other Interests (k)</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Auto Components &#8212; 0.0%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">Lear Corp. Escrow</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">1,000</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">7,500</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Diversified Financial Services &#8212; 0.2%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">JG Wentworth LLC Preferred Equity</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.2pt; text-align: left">Interests (d)</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">1</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">1,420,709</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Household Durables &#8212; 0.0%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">Berkline Benchcraft Equity LLC</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">3</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">&#8212;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 2px solid; text-align: left; font-weight: bold">Total Other Interests &#8211; 0.2%</TD>

   <TD STYLE="border-bottom: #000000 2px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 2px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right">1,428,209</TD></TR>

<TR>

   <TD COLSPAN="5" STYLE="border-bottom: rgb(57,76,135) 4pt solid">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Shares</b></TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>


<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><B>Preferred Securities</B></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>


<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><B>Preferred Stocks &#8212; 0.1%</B></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Auto Components &#8212; 0.1%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: left">Dana Holding Corp., 4.00% (a)(g)</TD>

   <TD STYLE="border-bottom: #000000 2px solid; text-align: right; padding-right: 9">6,000</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right">687,000</TD></TR>

<TR> <TD COLSPAN="5" STYLE="border-bottom: rgb(57,76,135) 4pt solid">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><B>Trust Preferreds &#8212; 0.3%</B></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Diversified Financial Services &#8212; 0.3%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">GMAC Capital Trust I, Series 2,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.2pt; text-align: left">8.13%, 2/15/40</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">89,360</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">2,048,131</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: left; font-weight: bold">Total Preferred Securities &#8211; 0.4%</TD>

   <TD STYLE="border-bottom: #000000 2px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right">2,735,131</TD></TR>

<TR>

   <TD COLSPAN="5" STYLE="border-bottom: rgb(57,76,135) 4pt solid">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par <BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>


<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Taxable Municipal Bonds</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">State of California, GO:</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">5.25%, 4/01/14</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9">1,075</TD>

   <TD COLSPAN="2" STYLE="text-align: right">1,151,863</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">5.10%, 8/01/14</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">2,225</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,305,945</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P></DIV>
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<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>
<TR vAlign=bottom>
   <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 12pt; color: rgb(57,76,135); width: 56%"><FONT STYLE="font-size: 12pt; color: #000080">Consolidated Schedule of Investments </FONT><FONT color=#000080 STYLE="font-size: 9pt">(continued)</FONT></TD>
   <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: bold 8pt Arial, Helvetica, Sans-Serif; width: 43%"><FONT STYLE="font-size: 8pt; color: #000080"><B>BlackRock Limited Duration Income Trust (BLW)<BR>
   (Percentages shown are based on Net Assets)</B></FONT></TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: center">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Par<BR>(000)</b></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Taxable Municipal Bonds</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left">State of California, GO, Various Purpose</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">3, Mandatory Put Bonds, 5.65%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left; width: 56%">4/01/39 (c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom; width: 13%">USD</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">455</TD>

   <TD STYLE="width: 4%; text-align: left; vertical-align: bottom">$</TD>
   <TD STYLE="width: 11%; text-align: right">473,482</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">State of Illinois, GO, 3.32%, 1/01/13</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">5,075</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">5,152,597</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: left; font-weight: bold">Total Taxable Municipal Bonds &#8211; 1.5%</TD>

   <TD STYLE="border-bottom: #000000 2px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right">9,083,887</TD></TR>

<TR>

   <TD COLSPAN="5" STYLE="border-bottom: rgb(57,76,135) 4pt solid">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left"><b>US Government Sponsored Agency Securities</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Collateralized Mortgage Obligations &#8212; 0.6%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Freddie Mac Mortgage-Backed</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Securities, Series 3986, Class</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.19pt; text-align: left">M, 4.50%, 9/15/41</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">3,331</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">3,634,837</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="3" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Interest Only Collateralized Mortgage Obligations &#8212; 0.9%</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Fannie Mae Mortgage-Backed</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Securities, Series 2010-126,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Class UI, 5.50%, 10/25/40</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">12,610</TD>

   <TD COLSPAN="2" STYLE="text-align: right">2,007,113</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">FREMF Mortgage Trust, Series</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">2012-K707, Class X1, 1.56%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">12/25/18 (c)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">43,358</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">3,698,038</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">5,705,151</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Mortgage-Backed Securities &#8212; 7.4%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>


<TR vAlign=bottom>

   <TD STYLE="text-align: left">Fannie Mae Mortgage-Backed Securities (b):</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">5.00%, 7/01/20 - 8/01/23</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">13,526</TD>

   <TD COLSPAN="2" STYLE="text-align: right">14,651,293</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 14.39pt; text-align: left">3.50%, 8/01/26</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">12,234</TD>

   <TD COLSPAN="2" STYLE="text-align: right">13,060,495</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Freddie Mac Mortgage-Backed</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Securities, 4.50%, 4/01/25 (b)</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: right; padding-right: 9">17,029</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">18,483,051</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">46,194,839</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="3" STYLE="text-align: left; font-weight: bold">Total US Government Sponsored Agency Securities &#8211;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 2px solid; text-align: left"><B>8.9%</B></TD>

   <TD STYLE="border-bottom: #000000 2px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 2px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right">55,534,827</TD></TR>

<TR> <TD COLSPAN="5" STYLE="border-bottom: rgb(57,76,135) 4pt solid">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><B>US Treasury Obligations - 0.3%</B></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">US Treasury Note, 0.38%,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 2px solid; text-indent: 7.19pt; text-align: left">4/15/15 (b)</TD>

   <TD STYLE="border-bottom: #000000 2px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 2px solid; text-align: right; padding-right: 9">1,745</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right">1,746,227</TD></TR>

<TR> <TD COLSPAN="5" STYLE="border-bottom: rgb(57,76,135) 4pt solid">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Shares</b></TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>


<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Warrants (l)</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Media &#8212; 0.1%</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Cumulus Media, Inc.</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">(Issued/Exercisable 9/16/11,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">0.01 Share for 1 Warrant,</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.19pt; text-align: left">Expires 6/03/30, Strike Price</TD>

   <TD STYLE="text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.19pt; text-align: left">$2.88)</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">51,701</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right">303,930</TD></TR></TABLE></DIV>

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

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Shares</b></TD>

   <TD COLSPAN="2" STYLE="text-indent: 0; text-align: center; vertical-align: bottom; padding-right: 4"><b>Value</b></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Warrants (l)</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 4">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Software &#8212; 0.0%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Bankruptcy Management</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Solutions, Inc. (Expires 9/29/17)</TD>

   <TD STYLE="text-align: right; padding-right: 9">435</TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4">&#8212;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">HMH Holdings/EduMedia</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">(Issued/Exercisable 3/09/10,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">19 Shares for 1 warrant, Expires</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left; width: 69%">3/9/17, strike price 12.26)</TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 14%">209,988</TD>

   <TD STYLE="width: 3%; text-align: left; border-bottom: #000000 1px solid; vertical-align: bottom; padding-right: 4">$</TD>
   <TD STYLE="width: 12%; text-align: right; border-bottom: #000000 1px solid; padding-right: 4"> 2</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 4">2</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; font-weight: bold">Total Warrants &#8211; 0.1%</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 4">303,932</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold">Total Long-Term Investments</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 2px solid; text-align: left"><B>(Cost &#8211; $897,978,257) &#8211; 141.8%</B></TD>

   <TD STYLE="border-bottom: #000000 2px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; padding-right: 4">884,552,424</TD></TR>

<TR> <TD COLSPAN="4" STYLE="border-bottom: rgb(57,76,135) 4pt solid">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Short-Term Securities</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 4">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">BlackRock Liquidity Funds,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">TempFund, Institutional Class,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.2pt; text-align: left">0.15% (m)(n)</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">1,447,264</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 4">1,447,264</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold">Total Short-Term Securities</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 2px solid; text-align: left"><B>(Cost &#8211; $1,447,264) &#8211; 0.2%</B></TD>

   <TD STYLE="border-bottom: #000000 2px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 2px solid; text-align: right; padding-right: 4">1,447,264</TD></TR>

<TR> <TD COLSPAN="4" STYLE="border-bottom: rgb(57,76,135) 4pt solid">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: center; padding-right: 9"><b>Contracts</b></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4">&nbsp;</TD></TR>


<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><b>Options Purchased</b></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 4">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="color: #000080">Over-the-Counter Call Options &#8212; 0.0%</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Marsico Parent Superholdco LLC,</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">Strike Price USD 942.86, Expires</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-indent: 7.2pt; text-align: left">12/14/19, Broker Goldman Sachs</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 7.2pt; text-align: left">Bank USA</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9">46</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 4">&#8212;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold">Total Options Purchased</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 4">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><B>(Cost &#8211; $44,978) &#8211; 0.0%</B></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 4">&#8212;</TD></TR>

<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left; font-weight: bold">Total Investments (Cost - $899,470,499*) &#8211; 142.0%</TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4">885,999,688</TD></TR>


<TR vAlign=bottom>

   <TD COLSPAN="2" STYLE="text-align: left"><B>Liabilities in Excess of Other Assets &#8211; (42.0)%</B></TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 0">(261,989,111)</TD></TR>


<TR vAlign=bottom>

   <TD STYLE="text-align: left"><B>Net Assets &#8211; 100.0%</B></TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD STYLE="border-bottom: Black 2px solid; text-align: left; vertical-align: bottom; padding-right: 4">$</TD>
   <TD STYLE="border-bottom: Black 2px solid; text-align: right; padding-right: 4"> 624,010,577</TD></TR>                                                                                                           <TR STYLE="vertical-align: bottom">
   <TD STYLE="border-bottom: #000000 1px solid; text-align: left">&nbsp;</TD>
   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9">&nbsp;</TD>
   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom; padding-right: 4">&nbsp;</TD>
   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 4">&nbsp;</TD></TR>
</TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P></DIV>
<!-- Field: Page; Sequence: 15; Value: 1 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-top: 12pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD NOWRAP STYLE="text-align: left; width: 33%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->14<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<A name="page_15"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>
<TR vAlign=bottom>
   <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 12pt; color: rgb(57,76,135); width: 56%"><FONT STYLE="font-size: 12pt; color: #000080">Consolidated Schedule of Investments </FONT><FONT color=#000080 STYLE="font-size: 9pt">(continued)</FONT></TD>
   <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: bold 8pt Arial, Helvetica, Sans-Serif; width: 43%"><FONT STYLE="font-size: 8pt; color: #000080"><B>BlackRock Limited Duration Income Trust (BLW)</B></FONT></TD></TR></TABLE></DIV>

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">*</TD><TD>As of May 31, 2012, gross unrealized appreciation and gross
unrealized depreciation based on cost for federal income tax purposes were as follows:</TD>
</TR></TABLE>

<DIV align=left>

<TABLE BORDER="0" CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="width: 81%; text-align: left">Tax cost</TD>

   <TD STYLE="border-bottom: Black 2px solid; text-align: left; vertical-align: bottom; padding-right: 4; width: 4%">$</TD>
   <TD STYLE="border-bottom: Black 2px solid; text-align: right; padding-right: 4; width: 14%"> 897,005,669</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Gross unrealized appreciation</TD>

   <TD STYLE="text-align: left; padding-right: 4; vertical-align: bottom">$</TD>
   <TD STYLE="text-align: right; padding-right: 4"> 22,003,951</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Gross unrealized depreciation</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 0">(33,009,932)</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">Net unrealized depreciation</TD>

   <TD STYLE="border-bottom: Black 2px solid; text-align: left; vertical-align: bottom; padding-right: 4">$</TD>
   <TD STYLE="border-bottom: Black 2px solid; text-align: right; padding-right: 0"> (11,005,981)</TD></TR></TABLE></DIV>

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">(a)</TD><TD>Security exempt from registration pursuant to Rule 144A under
the Securities Act of 1933, as amended. These securities may be resold in transactions exempt from registration to qualified institutional
investors.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">(b)</TD><TD>All or a portion of security has been pledged as collateral
in connection with open reverse repurchase agreements.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">(c)</TD><TD>Variable rate security. Rate shown is as of report date.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">(d)</TD><TD>Non-income producing security.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">(e)</TD><TD>All or a portion of security has been pledged as collateral
in connection with swaps.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">(f)</TD><TD>Represents a zero-coupon bond. Rate shown reflects the current
yield as of report date.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">(g)</TD><TD>Convertible security.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">(h)</TD><TD>Represents a payment-in-kind security which may pay interest/dividends
in additional par/shares.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">(i)</TD><TD>Issuer filed for bankruptcy and/or is in default of principal
and/or interest payments.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">(j)</TD><TD>When-issued security. Unsettled when-issued transactions
were as follows:</TD>
</TR></TABLE>

<DIV align=left>

<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>



<TR vAlign=bottom>

   <TD STYLE="border-bottom: Black 1px solid; width: 42%; text-align: left; border-top: Black 1px solid"><B>Counterparty</B></TD>

   <TD STYLE="border-bottom: Black 1px solid; width: 36%; text-align: center; border-top: Black 1px solid"><B>Value</B></TD>

   <TD STYLE="width: 21%; text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Unrealized<BR>Appreciation<BR>(Depreciation)</B></TD></TR>

<TR vAlign=bottom>

   <TD width="42%" align=left>Goldman Sachs &amp; Co.</TD>

   <TD width="36%" align=center>$ 701,950 </TD>

   <TD WIDTH="21%" STYLE="text-align: center; vertical-align: bottom">$&nbsp;6,950&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="42%" align=left>JPMorgan Securities, Inc.</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="36%" align=center>$ 531,900 </TD>

   <TD WIDTH="21%" STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">$(4,563)</TD></TR></TABLE></DIV>

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">(k)</TD><TD>Other interests represent beneficial interests in liquidation
trusts and other reorganization or private entities.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">(l)</TD><TD>Warrants entitle the Trust to purchase a predetermined number
of shares of common stock and are non-income producing. The purchase price and number of shares are subject to adjustment under
certain conditions until the expiration date, if any.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">(m)</TD><TD>Investments in companies considered to be an affiliate of
the Trust during the period, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:</TD>
</TR></TABLE>

<DIV align=left>

<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>



<TR vAlign=bottom>

   <TD STYLE="border-bottom: Black 1px solid; width: 22%; text-align: left; border-top: Black 1px solid"><B>Affiliate</B></TD>

   <TD STYLE="width: 20%; text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Shares<BR>Held at<BR>August 31,<BR>2011</B></TD>

   <TD STYLE="width: 21%; text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Net<BR>Activity</B></TD>

   <TD STYLE="width: 19%; text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Shares<BR>Held at<BR>May 31,<BR>2012</B></TD>

   <TD STYLE="border-bottom: Black 1px solid; width: 15%; text-align: center; border-top: Black 1px solid"><B>Income</B></TD></TR>

<TR vAlign=bottom>

   <TD width="22%" align=left>BlackRock</TD>

   <TD width="20%" align=left>&nbsp;</TD>

   <TD width="21%" align=left>&nbsp;</TD>

   <TD width="19%" align=left>&nbsp;</TD>

   <TD width="15%" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 7.2pt" width="22%" align=left>Liquidity</TD>

   <TD width="20%" align=left>&nbsp;</TD>

   <TD width="21%" align=left>&nbsp;</TD>

   <TD width="19%" align=left>&nbsp;</TD>

   <TD width="15%" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 7.2pt" width="22%" align=left>Funds,</TD>

   <TD width="20%" align=left>&nbsp;</TD>

   <TD width="21%" align=left>&nbsp;</TD>

   <TD width="19%" align=left>&nbsp;</TD>

   <TD width="15%" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 7.2pt" width="22%" align=left>TempFund,</TD>

   <TD width="20%" align=left>&nbsp;</TD>

   <TD width="21%" align=left>&nbsp;</TD>

   <TD width="19%" align=left>&nbsp;</TD>

   <TD width="15%" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="TEXT-INDENT: 7.2pt" width="22%" align=left>Institutional</TD>

   <TD width="20%" align=left>&nbsp;</TD>

   <TD width="21%" align=left>&nbsp;</TD>

   <TD width="19%" align=left>&nbsp;</TD>

   <TD width="15%" align=left>&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 7.2pt" width="22%" align=left>Class</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="20%" align=center>5,229,778</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="21%" align=center>(3,782,514)</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="19%" align=center>1,447,264</TD>

   <TD WIDTH="15%" STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">$ 3,122</TD></TR></TABLE></DIV>

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">(n)</TD><TD>Represents the current yield as of report date.</TD>
</TR></TABLE>

<P STYLE="text-align: left; color: rgb(57,76,135); border-top: rgb(57,76,165) 2pt solid; border-bottom: rgb(57,76,165) 1pt solid; padding-top: 1pt; padding-bottom: 1pt; background-color: rgb(227,227,239)">Portfolio Abbreviations</P>

<P style="TEXT-ALIGN: left">To simplify the listings of portfolio holdings in the Schedule of Investments, the names and descriptions of many of the securities have been abbreviated according to the following list:</P>

<DIV align=left>

<TABLE BORDER="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD STYLE="width: 15%; text-align: left">CAD</TD>

   <TD STYLE="width: 85%; text-align: left">Canadian Dollar</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">DIP</TD>

   <TD STYLE="text-align: left">Debtor-In-Possession</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">EUR</TD>

   <TD STYLE="text-align: left">Euro</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">FKA</TD>

   <TD STYLE="text-align: left">Formerly Known As</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">GBP</TD>

   <TD STYLE="text-align: left">British Pound</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">GO</TD>

   <TD STYLE="text-align: left">General Obligation Bonds</TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left">USD</TD>

   <TD STYLE="text-align: left">US Dollar</TD></TR></TABLE></DIV>

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">&#8226;</TD><TD>Reverse repurchase agreements outstanding as of May 31, 2012
were as follows:</TD>
</TR></TABLE>

<DIV align=left><TABLE BORDER="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">
<TR vAlign=bottom><TD NOWRAP STYLE="border-bottom: Black 1px solid; text-align: left; border-top: Black 1px solid"><FONT STYLE="font-size: 9pt"><B>Counterparty</B></FONT></TD>

   <TD STYLE="text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><FONT STYLE="font-size: 9pt"><B>Interest<BR>Rate</B></FONT></TD>

   <TD STYLE="text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><FONT STYLE="font-size: 9pt"><B>Trade<BR>Date</B></FONT></TD>

   <TD STYLE="text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><FONT STYLE="font-size: 9pt"><B>Maturity<BR>Date<SUP>1</SUP></B></FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: center; padding-right: 0; border-top: Black 1px solid; border-bottom: Black 1px solid"><FONT STYLE="font-size: 9pt"><B>Net Closing<BR>Amount</B></FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><FONT STYLE="font-size: 9pt"><B>Face<BR>Amount</B></FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left; width: 20%"><FONT STYLE="font-size: 9pt">Deutsche Bank AG</FONT></TD>

   <TD STYLE="text-align: center; width: 12%"><FONT STYLE="font-size: 9pt">(0.75)%</FONT></TD>

   <TD STYLE="text-align: center; width: 17%"><FONT STYLE="font-size: 9pt">1/30/12</FONT></TD>

   <TD STYLE="text-align: center; width: 18%"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD STYLE="text-align: left; width: 5%; vertical-align: bottom; padding-right: 9"><FONT STYLE="font-size: 9pt">$</FONT></TD>

   <TD STYLE="text-align: right; width: 11%; padding-right: 9"><FONT STYLE="font-size: 9pt"> 1,730,818</FONT></TD>
   <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-size: 9pt">$</FONT></TD>
   <TD STYLE="text-align: right; width: 8%"><FONT STYLE="font-size: 9pt"> 2,320,650</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">(1.25)%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">2/02/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">428,422</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">430,200</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">(1.25)%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">3/07/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">1,239,643</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,243,313</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Credit Suisse Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-size: 9pt">&nbsp;&nbsp;&nbsp;&nbsp;(USA) LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.38%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">3/20/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">5,989,548</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">5,985,000</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Credit Suisse Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left; vertical-align: bottom">&nbsp;&nbsp;&nbsp;<FONT STYLE="font-size: 9pt">(USA) LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.65%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">3/20/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">1,825,708</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,823,338</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.40%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">3/20/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">807,245</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">806,600</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.45%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">3/20/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">722,525</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">721,875</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.54%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">3/20/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">751,473</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">750,662</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.55%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">3/20/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">3,704,696</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">3,700,625</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.65%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">3/20/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">6,748,550</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">6,739,788</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Deutsche Bank AG</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.00%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">3/21/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">1,240,800</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,240,800</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.20%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">3/21/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">1,636,707</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,636,061</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.35%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">3/22/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">2,985,530</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">2,983,500</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">(0.25)%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">3/26/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">869,601</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">870,000</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.60%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">3/26/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">3,614,046</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">3,610,075</FONT></TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P></DIV>
<!-- Field: Page; Sequence: 16; Value: 1 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-top: 12pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD NOWRAP STYLE="text-align: left; width: 33%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->15<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_16"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>
<TR vAlign=bottom>
   <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 12pt; color: rgb(57,76,135); width: 56%"><FONT STYLE="font-size: 12pt; color: #000080">Consolidated Schedule of Investments </FONT><FONT color=#000080 STYLE="font-size: 9pt">(continued)</FONT></TD>
   <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: bold 8pt Arial, Helvetica, Sans-Serif; width: 43%"><FONT STYLE="font-size: 8pt; color: #000080"><B>BlackRock Limited Duration Income Trust (BLW)</B></FONT></TD></TR></TABLE></DIV>

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">&#8226;</TD><TD>Reverse repurchase agreements outstanding as of May 31, 2012
were as follows (continued):</TD>
</TR></TABLE>

<DIV align=left><TABLE BORDER="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">
<TR vAlign=bottom><TD NOWRAP STYLE="border-bottom: Black 1px solid; border-top: Black 1px solid; text-align: left"><FONT STYLE="font-size: 9pt"><B>Counterparty</B></FONT></TD>

   <TD STYLE="border-top: Black 1px solid; border-bottom: Black 1px solid; text-align: center"><FONT STYLE="font-size: 9pt"><B>Interest<BR>Rate</B></FONT></TD>

   <TD STYLE="border-top: Black 1px solid; border-bottom: Black 1px solid; text-align: center"><FONT STYLE="font-size: 9pt"><B>Trade<BR>Date</B></FONT></TD>

   <TD STYLE="border-top: Black 1px solid; border-bottom: Black 1px solid; text-align: center"><FONT STYLE="font-size: 9pt"><B>Maturity<BR>Date<SUP>1</SUP></B></FONT></TD>

   <TD COLSPAN="2" STYLE="border-top: Black 1px solid; text-align: center; padding-right: 0; border-bottom: Black 1px solid"><FONT STYLE="font-size: 9pt"><B>Net Closing<BR>Amount</B></FONT></TD>

   <TD COLSPAN="2" STYLE="border-top: Black 1px solid; border-bottom: Black 1px solid; text-align: center"><FONT STYLE="font-size: 9pt"><B>Face<BR>Amount</B></FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left; width: 20%"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center; width: 12%"><FONT STYLE="font-size: 9pt">0.55%</FONT></TD>

   <TD STYLE="text-align: center; width: 17%"><FONT STYLE="font-size: 9pt">3/28/12</FONT></TD>

   <TD STYLE="text-align: center; width: 18%"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD STYLE="width: 5%; text-align: left; vertical-align: bottom; padding-right: 9"><FONT STYLE="font-size: 9pt">$</FONT></TD>

   <TD STYLE="width: 11%; text-align: right; vertical-align: bottom; padding-right: 9"><FONT STYLE="font-size: 9pt"> 3,229,280</FONT></TD>
   <TD STYLE="text-align: left; width: 6%; vertical-align: bottom">$</TD>
   <TD STYLE="text-align: right; width: 8%"><FONT STYLE="font-size: 9pt">3,226,125</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.60%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">3/30/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">2,251,624</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">2,249,300</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Citigroup Global Markets,</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 7.19pt; text-align: left"><FONT STYLE="font-size: 9pt">Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">(0.50)%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">3/30/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">785,379</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">786,056</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Credit Suisse Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 7.19pt; text-align: left"><FONT STYLE="font-size: 9pt">(USA) LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.60%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">3/30/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">1,331,487</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,330,112</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.65%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/02/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">1,686,795</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,685,000</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.40%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/03/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">6,121,462</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">6,117,520</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.60%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/03/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">4,721,369</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">4,716,809</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Credit Suisse Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 7.19pt; text-align: left"><FONT STYLE="font-size: 9pt">(USA) LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.38%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/03/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">3,739,200</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">3,736,912</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Credit Suisse Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 7.19pt; text-align: left"><FONT STYLE="font-size: 9pt">(USA) LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.65%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/03/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">8,589,530</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">8,580,544</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.60%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/04/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">1,438,226</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,436,862</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.60%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/05/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">4,786,148</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">4,781,685</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.35%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/09/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">3,571,459</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">3,569,655</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Credit Suisse Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 7.19pt; text-align: left"><FONT STYLE="font-size: 9pt">(USA) LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.65%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/09/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">824,210</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">823,437</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.35%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/12/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">3,543,050</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">3,541,363</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">(0.50)%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/13/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">921,954</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">922,569</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.10%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/16/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">443,755</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">443,700</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.60%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/16/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">2,071,553</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">2,070,000</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.25%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/17/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">1,031,378</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,031,062</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.40%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/18/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">14,984,048</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">14,976,893</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">BNP Paribas Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 7.19pt; text-align: left"><FONT STYLE="font-size: 9pt">Corp.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.37%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/18/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">804,856</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">804,500</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Credit Suisse Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 7.19pt; text-align: left"><FONT STYLE="font-size: 9pt">(USA) LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.35%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/18/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">2,145,522</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">2,144,625</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Credit Suisse Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 7.19pt; text-align: left"><FONT STYLE="font-size: 9pt">(USA) LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.65%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/18/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">3,087,455</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">3,085,060</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Credit Suisse Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 7.19pt; text-align: left"><FONT STYLE="font-size: 9pt">(USA) LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.70%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/18/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">615,139</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">614,625</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.60%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/19/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">2,638,546</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">2,636,700</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.60%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/23/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">1,081,773</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,081,088</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.65%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/23/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">1,068,583</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,067,850</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.60%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/24/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">2,215,816</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">2,214,450</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.54%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/24/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">249,478</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">249,340</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.60%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/30/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">5,400,220</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">5,397,431</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Deutsche Bank AG</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.50%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/30/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">1,417,230</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,416,620</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.55%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">4/30/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">1,557,387</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,556,650</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.60%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/02/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">346,390</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">346,222</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.65%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/02/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">8,214,085</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">8,209,785</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.00%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/03/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">340,706</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">340,706</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.60%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/03/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">673,349</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">673,035</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.34%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/03/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">3,199,615</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">3,198,769</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.40%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/07/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">2,403,785</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">2,403,144</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.60%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/07/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">426,084</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">425,914</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.65%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/07/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">15,551,569</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">15,544,833</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Credit Suisse Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 7.19pt; text-align: left"><FONT STYLE="font-size: 9pt">(USA) LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.35%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/07/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">5,683,370</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">5,682,044</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Credit Suisse Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 7.19pt; text-align: left"><FONT STYLE="font-size: 9pt">(USA) LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.38%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/07/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">1,196,959</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,196,656</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Credit Suisse Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 7.19pt; text-align: left"><FONT STYLE="font-size: 9pt">(USA) LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.65%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/07/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">4,948,818</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">4,946,675</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.00%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/07/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">503,750</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">503,750</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.40%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/07/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">1,175,826</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,175,513</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">(0.25)%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/08/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">1,409,111</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,409,337</FONT></TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P></DIV>
<!-- Field: Page; Sequence: 17; Value: 1 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-top: 12pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD NOWRAP STYLE="text-align: left; width: 33%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->16<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_17"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>
<TR vAlign=bottom>
   <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 12pt; color: rgb(57,76,135); width: 56%"><FONT STYLE="font-size: 12pt; color: #000080">Consolidated Schedule of Investments </FONT><FONT color=#000080 STYLE="font-size: 9pt">(continued)</FONT></TD>
   <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: bold 8pt Arial, Helvetica, Sans-Serif; width: 43%"><FONT STYLE="font-size: 8pt; color: #000080"><B>BlackRock Limited Duration Income Trust (BLW)</B></FONT></TD></TR></TABLE></DIV>

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">&#8226;</TD><TD>Reverse repurchase agreements outstanding as of May 31, 2012
were as follows (concluded):</TD>
</TR></TABLE>

<DIV align=left><TABLE BORDER="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">

<TR vAlign=bottom><TD NOWRAP STYLE="border-bottom: Black 1px solid; border-top: Black 1px solid; text-align: left"><FONT STYLE="font-size: 9pt"><B>Counterparty</B></FONT></TD>

   <TD STYLE="border-top: Black 1px solid; border-bottom: Black 1px solid; text-align: center"><FONT STYLE="font-size: 9pt"><B>Interest<BR>Rate</B></FONT></TD>

   <TD STYLE="border-top: Black 1px solid; border-bottom: Black 1px solid; text-align: center"><FONT STYLE="font-size: 9pt"><B>Trade<BR>Date</B></FONT></TD>

   <TD STYLE="border-top: Black 1px solid; border-bottom: Black 1px solid; text-align: center"><FONT STYLE="font-size: 9pt"><B>Maturity<BR>Date<SUP>1</SUP></B></FONT></TD>

   <TD COLSPAN="2" STYLE="border-top: Black 1px solid; text-align: center; padding-right: 0; border-bottom: Black 1px solid"><FONT STYLE="font-size: 9pt"><B>Net Closing<BR>Amount</B></FONT></TD>

   <TD COLSPAN="2" STYLE="border-top: Black 1px solid; border-bottom: Black 1px solid; text-align: center"><FONT STYLE="font-size: 9pt"><B>Face<BR>Amount</B></FONT></TD></TR>
<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left; width: 20%"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center; width: 12%"><FONT STYLE="font-size: 9pt">0.55%</FONT></TD>

   <TD STYLE="text-align: center; width: 17%"><FONT STYLE="font-size: 9pt">5/08/12</FONT></TD>

   <TD STYLE="text-align: center; width: 18%"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD STYLE="width: 5%; text-align: left; vertical-align: bottom; padding-right: 9"><FONT STYLE="font-size: 9pt">$</FONT></TD>

   <TD STYLE="width: 11%; text-align: right; vertical-align: bottom; padding-right: 9"><FONT STYLE="font-size: 9pt">1,036,355</FONT></TD>
   <TD STYLE="text-align: left; width: 6%; vertical-align: bottom"><FONT STYLE="font-size: 9pt">$</FONT></TD>
   <TD STYLE="text-align: right; width: 8%"><FONT STYLE="font-size: 9pt">1,036,007</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.60%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/08/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">1,915,357</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,914,624</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left"><FONT STYLE="font-size: 9pt">Credit Suisse Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 10.55pt; text-align: left"><FONT STYLE="font-size: 9pt">(USA) LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">(0.25)%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/08/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">7,789,081</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">7,790,325</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left"><FONT STYLE="font-size: 9pt">Credit Suisse Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 10.55pt; text-align: left"><FONT STYLE="font-size: 9pt">(USA) LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.35%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/08/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">3,400,390</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">3,399,630</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left"><FONT STYLE="font-size: 9pt">Credit Suisse Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 10.55pt; text-align: left"><FONT STYLE="font-size: 9pt">(USA) LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.38%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/08/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">1,277,560</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,277,250</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left"><FONT STYLE="font-size: 9pt">Credit Suisse Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 10.55pt; text-align: left"><FONT STYLE="font-size: 9pt">(USA) LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.65%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/08/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">5,695,376</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">5,693,012</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left"><FONT STYLE="font-size: 9pt">Credit Suisse Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 10.55pt; text-align: left"><FONT STYLE="font-size: 9pt">(USA) LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.65%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/10/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">1,154,992</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,154,554</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.00%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/10/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">459,375</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">459,375</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.55%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/10/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">2,980,421</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">2,979,465</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left"><FONT STYLE="font-size: 9pt">Credit Suisse Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 10.55pt; text-align: left"><FONT STYLE="font-size: 9pt">(USA) LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.35%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/11/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">3,119,706</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">3,119,100</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left"><FONT STYLE="font-size: 9pt">Credit Suisse Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 10.55pt; text-align: left"><FONT STYLE="font-size: 9pt">(USA) LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.35%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/14/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">1,034,971</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,034,800</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left"><FONT STYLE="font-size: 9pt">UBS Securities, LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.65%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/14/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">789,316</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">789,074</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left"><FONT STYLE="font-size: 9pt">Deutsche Bank AG</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">(1.50)%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/16/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">262,136</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">262,300</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left"><FONT STYLE="font-size: 9pt">Deutsche Bank AG</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">(2.00)%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/16/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">709,159</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">709,750</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left"><FONT STYLE="font-size: 9pt">Credit Suisse Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 10.55pt; text-align: left"><FONT STYLE="font-size: 9pt">(USA) LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.32%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/17/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">6/18/12</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">45,082,149</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">45,069,330</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.55%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/18/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">1,768,496</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,768,145</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left"><FONT STYLE="font-size: 9pt">Credit Suisse Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 10.55pt; text-align: left"><FONT STYLE="font-size: 9pt">(USA) LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.35%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/18/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">425,879</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">425,825</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left"><FONT STYLE="font-size: 9pt">Credit Suisse Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 10.55pt; text-align: left"><FONT STYLE="font-size: 9pt">(USA) LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.65%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/18/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">735,860</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">735,687</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left"><FONT STYLE="font-size: 9pt">Barclays Capital, Inc.</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.60%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/23/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">2,148,199</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">2,147,912</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left"><FONT STYLE="font-size: 9pt">Credit Suisse Securities</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 10.55pt; text-align: left"><FONT STYLE="font-size: 9pt">(USA) LLC</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.60%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/23/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">386,802</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">386,750</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left"><FONT STYLE="font-size: 9pt">Deutsche Bank AG</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.25%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/23/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">5,880,777</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">5,880,450</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left"><FONT STYLE="font-size: 9pt">Deutsche Bank AG</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.60%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/23/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">701,681</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">701,587</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left"><FONT STYLE="font-size: 9pt">Deutsche Bank AG</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">0.23%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">5/31/12</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">1,747,192</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,747,181</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="border-bottom: #000000 1px solid; text-indent: 3.36pt; text-align: left"><FONT STYLE="font-size: 9pt">Deutsche
   Bank AG</FONT></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-size: 9pt">(0.75)%</FONT></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-size: 9pt">5/31/12</FONT></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-size: 9pt">Open</FONT></TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt">1,004,454</FONT></TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-size: 9pt">1,004,475</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-indent: 3.36pt; text-align: left; font-weight: bold"><FONT STYLE="font-size: 9pt">Total</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="border-bottom: Black 1px solid; text-align: left; padding-right: 9; vertical-align: bottom"><FONT STYLE="font-size: 9pt"><B>$</B></FONT></TD>
   <TD STYLE="border-bottom: Black 1px solid; text-align: right; padding-right: 9"><FONT STYLE="font-size: 9pt"><B>260,228,325</B></FONT></TD>

   <TD STYLE="border-bottom: Black 1px solid; text-align: left; vertical-align: bottom"><FONT STYLE="font-size: 9pt"><B>$</B></FONT></TD>
   <TD STYLE="border-bottom: Black 1px solid; text-align: right"><FONT STYLE="font-size: 9pt"><B>260,700,021</B></FONT></TD></TR></TABLE></DIV>

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left"><SUP>1</SUP></TD><TD>Certain agreements have no stated maturity and can be terminated
by either party at any time.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">&#8226;</TD><TD>Financial futures contracts purchased as of May 31, 2012
were as follows:</TD>
</TR></TABLE>

<DIV align=left><TABLE BORDER="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">
<TR vAlign=bottom><TD STYLE="border-bottom: Black 1px solid; border-top: Black 1px solid; text-align: left"><FONT STYLE="font-size: 9pt"><B>Contracts</B></FONT></TD>

   <TD STYLE="border-bottom: Black 1px solid; text-indent: 0; border-top: Black 1px solid; text-align: center"><FONT STYLE="font-size: 9pt"><B>Issue</B></FONT></TD>

   <TD STYLE="border-bottom: Black 1px solid; border-top: Black 1px solid; text-align: center"><FONT STYLE="font-size: 9pt"><B>Exchange</B></FONT></TD>

   <TD STYLE="border-bottom: Black 1px solid; text-indent: 9.96pt; border-top: Black 1px solid; text-align: center"><FONT STYLE="font-size: 9pt"><B>Expiration</B></FONT></TD>

   <TD COLSPAN="2" STYLE="border-top: Black 1px solid; border-bottom: Black 1px solid; text-align: center; padding-right: 0"><FONT STYLE="font-size: 9pt"><B>Notional<BR>Value</B></FONT></TD>

   <TD COLSPAN="2" STYLE="border-top: Black 1px solid; text-align: center; border-bottom: Black 1px solid"><FONT STYLE="font-size: 9pt"><B>Unrealized<BR>Appreciation</B></FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: center; width: 9%"><FONT STYLE="font-size: 9pt">120</FONT></TD>

   <TD STYLE="text-align: center; width: 22%"><FONT STYLE="font-size: 9pt">5 Year US Treasury Note</FONT></TD>

   <TD STYLE="text-align: center; width: 24%"><FONT STYLE="font-size: 9pt">Chicago Board of Trade</FONT></TD>

   <TD STYLE="text-align: center; width: 19%"><FONT STYLE="font-size: 9pt">September 2012</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9; width: 3%; vertical-align: bottom"><FONT STYLE="font-size: 9pt">$</FONT></TD>

   <TD STYLE="text-align: right; padding-right: 9; width: 11%; vertical-align: bottom"><FONT STYLE="font-size: 9pt"> 14,902,500</FONT></TD>
   <TD STYLE="width: 4%; text-align: left; vertical-align: bottom"><FONT STYLE="font-size: 9pt">$</FONT></TD>
   <TD STYLE="width: 5%; text-align: right"><FONT STYLE="font-size: 9pt"> 6,731</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">8</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">90-Day Euro-Dollar</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Chicago Mercantile</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">June 2012</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9; vertical-align: bottom"><FONT STYLE="font-size: 9pt">$ </FONT></TD>
   <TD STYLE="text-align: right; padding-right: 9; vertical-align: bottom"><FONT STYLE="font-size: 9pt">&nbsp;1,990,500</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">10,178</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">8</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">90-Day Euro-Dollar</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Chicago Mercantile</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">September 2012</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9; vertical-align: bottom"><FONT STYLE="font-size: 9pt">$ </FONT></TD>
   <TD STYLE="text-align: right; padding-right: 9; vertical-align: bottom"><FONT STYLE="font-size: 9pt">1,988,900</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">14,978</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">6</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">90-Day Euro-Dollar</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Chicago Mercantile</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">December 2013</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9; vertical-align: bottom"><FONT STYLE="font-size: 9pt">$</FONT></TD>
   <TD STYLE="text-align: right; padding-right: 9; vertical-align: bottom"><FONT STYLE="font-size: 9pt"> 1,489,800</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">29,233</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">8</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">90-Day Euro-Dollar</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Chicago Mercantile</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">March 2013</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9; vertical-align: bottom"><FONT STYLE="font-size: 9pt">$</FONT></TD>
   <TD STYLE="text-align: right; padding-right: 9; vertical-align: bottom"><FONT STYLE="font-size: 9pt"> 1,987,400</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">24,678</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">6</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">90-Day Euro-Dollar</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Chicago Mercantile</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">September 2013</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9; vertical-align: bottom"><FONT STYLE="font-size: 9pt">$ </FONT></TD>
   <TD STYLE="text-align: right; padding-right: 9; vertical-align: bottom"><FONT STYLE="font-size: 9pt">1,490,175</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">25,934</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">6</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">90-Day Euro-Dollar</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Chicago Mercantile</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">June 2013</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 9; vertical-align: bottom"><FONT STYLE="font-size: 9pt">$ </FONT></TD>
   <TD STYLE="text-align: right; padding-right: 9; vertical-align: bottom"><FONT STYLE="font-size: 9pt">1,490,325</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">22,409</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-size: 9pt">6</FONT></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-size: 9pt">90-Day Euro-Dollar</FONT></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-size: 9pt">Chicago Mercantile</FONT></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-size: 9pt">March 2014</FONT></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; padding-right: 9; vertical-align: bottom"><FONT STYLE="font-size: 9pt">$ </FONT></TD>
   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9; vertical-align: bottom"><FONT STYLE="font-size: 9pt">1,489,500</FONT></TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-size: 9pt">32,233</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="font-size: 9pt">Total</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left; padding-right: 9"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-size: 9pt">$</FONT></TD>
   <TD STYLE="text-align: right; border-bottom: Black 1px solid"><FONT STYLE="font-size: 9pt"> 166,374</FONT></TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P></DIV>
<!-- Field: Page; Sequence: 18; Value: 1 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-top: 12pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD NOWRAP STYLE="text-align: left; width: 33%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->17<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

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

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>
<TR vAlign=bottom>
   <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 12pt; color: rgb(57,76,135); width: 56%"><FONT STYLE="font-size: 12pt; color: #000080">Consolidated Schedule of Investments </FONT><FONT color=#000080 STYLE="font-size: 9pt">(continued)</FONT></TD>
   <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: bold 8pt Arial, Helvetica, Sans-Serif; width: 43%"><FONT STYLE="font-size: 8pt; color: #000080"><B>BlackRock Limited Duration Income Trust (BLW)</B></FONT></TD></TR></TABLE></DIV>

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">&#8226;</TD><TD>Financial futures contracts sold as of May 31, 2012 were
as follows:</TD>
</TR></TABLE>

<DIV align=left><TABLE BORDER="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">
<TR vAlign=bottom><TD STYLE="border-bottom: Black 1px solid; text-align: left; border-top: Black 1px solid"><FONT STYLE="font-size: 9pt"><B>Contracts</B></FONT></TD>

   <TD STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1px solid"><FONT STYLE="font-size: 9pt"><B>Issue</B></FONT></TD>

   <TD STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1px solid"><FONT STYLE="font-size: 9pt"><B>Exchange</B></FONT></TD>

   <TD STYLE="border-bottom: Black 1px solid; text-indent: 0.72pt; text-align: center; border-top: Black 1px solid"><FONT STYLE="font-size: 9pt"><B>Expiration</B></FONT></TD>


   <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><FONT STYLE="font-size: 9pt"><B>Notional<BR>Value</B></FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: center; vertical-align: bottom; border-top: Black 1px solid; border-bottom: Black 1px solid"><FONT STYLE="font-size: 9pt"><B>Unrealized<BR>Appreciation<BR>(Depreciation)</B></FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: center; width: 8%"><FONT STYLE="font-size: 9pt">15</FONT></TD>

   <TD STYLE="text-align: center; width: 20%"><FONT STYLE="font-size: 9pt">Euro-Bund</FONT></TD>

   <TD STYLE="text-align: center; width: 19%"><FONT STYLE="font-size: 9pt">Eurex</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom; width: 12%"><FONT STYLE="font-size: 9pt">June 2012</FONT></TD>


   <TD STYLE="text-indent: 10.19pt; text-align: right; padding-right: 9; vertical-align: bottom">EUR</TD>
   <TD STYLE="text-indent: 10.19pt; text-align: right; padding-right: 15pt; vertical-align: bottom"><FONT STYLE="font-size: 9pt">2,190,450</FONT></TD>

   <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-size: 9pt">$</FONT></TD>
   <TD STYLE="text-align: right; vertical-align: bottom"><FONT STYLE="font-size: 9pt"> (138,034)</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: Black 1px solid; text-align: center"><FONT STYLE="font-size: 9pt">60</FONT></TD>

   <TD NOWRAP STYLE="border-bottom: Black 1px solid; text-align: center; padding-right: 6pt; padding-left: 6pt"><FONT STYLE="font-size: 9pt">S&amp;P 500 E-Mini Index
   Future</FONT></TD>

   <TD STYLE="border-bottom: Black 1px solid; text-align: center"><FONT STYLE="font-size: 9pt">Chicago Mercantile</FONT></TD>

   <TD STYLE="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">June 2012</FONT></TD>

   <TD STYLE="border-bottom: Black 1px solid; text-align: right; padding-right: 9; vertical-align: bottom"><FONT STYLE="font-size: 9pt">$</FONT></TD>

   <TD STYLE="text-align: right; vertical-align: bottom; padding-right: 15pt; border-bottom: Black 1px solid"><FONT STYLE="font-size: 9pt">3,927,600</FONT></TD>
    <TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-size: 9pt">147,774</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold"><FONT STYLE="font-size: 9pt">Total</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>


   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-size: 9pt">$</FONT></TD>
   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-size: 9pt"> 9,740</FONT></TD></TR></TABLE></DIV>

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">&#8226;</TD><TD>Foreign currency exchange contracts as of May 31, 2012 were
as follows:</TD>
</TR></TABLE>

<DIV align=left><TABLE BORDER="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">
<TR vAlign=bottom><TD COLSPAN="2" STYLE="border-bottom: Black 1px solid; border-top: Black 1px solid; text-align: left"><FONT STYLE="font-size: 9pt"><B>Currency
   Purchased</B></FONT></TD>

   <TD STYLE="border-bottom: Black 1px solid; border-top: Black 1px solid; text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt"><B>&nbsp;</B></FONT></TD>

   <TD STYLE="border-bottom: Black 1px solid; border-top: Black 1px solid; text-align: center"><FONT STYLE="font-size: 9pt"><B>Currency
   Sold</B></FONT></TD>

   <TD STYLE="border-bottom: Black 1px solid; border-top: Black 1px solid; text-align: center"><FONT STYLE="font-size: 9pt"><B>Counterparty</B></FONT></TD>

   <TD STYLE="border-bottom: Black 1px solid; border-top: Black 1px solid; text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt"><B>Settlement
   Date</B></FONT></TD>

   <TD COLSPAN="2" STYLE="border-top: Black 1px solid; text-align: center; border-bottom: Black 1px solid; padding-right: 4"><FONT STYLE="font-size: 9pt"><B>Unrealized<BR>Appreciation<BR>(Depreciation)</B></FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">GBP</FONT></TD>

   <TD STYLE="text-align: right"><FONT STYLE="font-size: 9pt">29,000</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">USD</FONT></TD>

   <TD STYLE="text-align: right"><FONT STYLE="font-size: 9pt">45,326</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Royal Bank of Scotland Plc</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">6/01/12</FONT></TD>

   <TD STYLE="text-align: left; padding-right: 0; vertical-align: bottom"><FONT STYLE="font-size: 9pt">$</FONT></TD>
   <TD STYLE="text-align: right; padding-right: 0"><FONT STYLE="font-size: 9pt"> (631)</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">CAD</FONT></TD>

   <TD STYLE="text-align: right"><FONT STYLE="font-size: 9pt">3,800,000</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">USD</FONT></TD>

   <TD STYLE="text-align: right"><FONT STYLE="font-size: 9pt">3,700,551</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">UBS AG</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">7/18/12</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 0"><FONT STYLE="font-size: 9pt">(25,116)</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">GBP</FONT></TD>

   <TD STYLE="text-align: right"><FONT STYLE="font-size: 9pt">4,370,000</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">USD</FONT></TD>

   <TD STYLE="text-align: right"><FONT STYLE="font-size: 9pt">7,068,453</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Citibank NA</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">7/18/12</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 0"><FONT STYLE="font-size: 9pt">(334,820)</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">GBP</FONT></TD>

   <TD STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,077,000</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">USD</FONT></TD>

   <TD STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,729,871</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">UBS AG</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">7/18/12</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 0"><FONT STYLE="font-size: 9pt">(70,346)</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">USD</FONT></TD>

   <TD STYLE="text-align: right"><FONT STYLE="font-size: 9pt">3,922,416</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">CAD</FONT></TD>

   <TD STYLE="text-align: right"><FONT STYLE="font-size: 9pt">3,989,000</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Citibank NA</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">7/18/12</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-size: 9pt">64,176</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">USD</FONT></TD>

   <TD STYLE="text-align: right"><FONT STYLE="font-size: 9pt">3,689,591</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">CAD</FONT></TD>

   <TD STYLE="text-align: right"><FONT STYLE="font-size: 9pt">3,633,000</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">UBS AG</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">7/18/12</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-size: 9pt">175,681</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">USD</FONT></TD>

   <TD STYLE="text-align: right"><FONT STYLE="font-size: 9pt">33,178,764</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">GBP</FONT></TD>

   <TD STYLE="text-align: right"><FONT STYLE="font-size: 9pt">20,791,500</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Goldman Sachs &amp; Co., Inc.</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">7/18/12</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-size: 9pt">1,141,615</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">USD</FONT></TD>

   <TD STYLE="text-align: right"><FONT STYLE="font-size: 9pt">45,313</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">GBP</FONT></TD>

   <TD STYLE="text-align: right"><FONT STYLE="font-size: 9pt">29,000</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Royal Bank of Scotland Plc</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">7/18/12</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-size: 9pt">628</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">EUR</FONT></TD>

   <TD STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,405,000</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">USD</FONT></TD>

   <TD STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,761,575</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Citibank NA</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">7/25/12</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 0"><FONT STYLE="font-size: 9pt">(23,760)</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">EUR</FONT></TD>

   <TD STYLE="text-align: right"><FONT STYLE="font-size: 9pt">1,699,000</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">USD</FONT></TD>

   <TD STYLE="text-align: right"><FONT STYLE="font-size: 9pt">2,172,124</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">UBS AG</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">7/25/12</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 0"><FONT STYLE="font-size: 9pt">(70,666)</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">USD</FONT></TD>

   <TD STYLE="text-align: right"><FONT STYLE="font-size: 9pt">25,893,120</FONT></TD>

   <TD STYLE="text-indent: 0.11pt; text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">EUR</FONT></TD>

   <TD STYLE="text-align: right"><FONT STYLE="font-size: 9pt">19,616,000</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Citibank NA</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">7/25/12</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right; padding-right: 4"><FONT STYLE="font-size: 9pt">1,630,497</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-size: 9pt">USD</FONT></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-size: 9pt">460,255</FONT></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 0.11pt; text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">EUR</FONT></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-size: 9pt">356,000</FONT></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-size: 9pt">UBS AG</FONT></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom"><FONT STYLE="font-size: 9pt">7/25/12</FONT></TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 4"><FONT STYLE="font-size: 9pt">19,926</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold; width: 6%"><FONT STYLE="font-size: 9pt">Total</FONT></TD>

   <TD STYLE="text-align: left; width: 12%"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom; width: 6%"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left; width: 17%"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left; width: 29%"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: center; vertical-align: bottom; width: 15%"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="width: 4%; border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-size: 9pt">$</FONT></TD>
   <TD STYLE="width: 9%; border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom; padding-right: 4"><FONT STYLE="font-size: 9pt"> 2,507,184</FONT></TD></TR></TABLE></DIV>

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">&#8226;</TD><TD>Credit default swaps on single-name issues - buy protection
outstanding as of May 31, 2012 were as follows:</TD>
</TR></TABLE>

<DIV align=left><TABLE BORDER="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">
<TR vAlign=bottom><TD STYLE="border-bottom: Black 1px solid; text-align: left; border-top: Black 1px solid"><FONT STYLE="font-size: 9pt"><B>Issuer</B></FONT></TD>

   <TD STYLE="text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><FONT STYLE="font-size: 9pt"><B>Pay<BR>Fixed<BR>Rate</B></FONT></TD>

   <TD STYLE="border-bottom: Black 1px solid; text-align: center; border-top: Black 1px solid"><FONT STYLE="font-size: 9pt"><B>Counterparty/Exchange</B></FONT></TD>

   <TD STYLE="text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><FONT STYLE="font-size: 9pt"><B>Expiration<BR>Date</B></FONT></TD>

   <TD STYLE="text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><FONT STYLE="font-size: 9pt"><B>Notional<BR>Amount<BR>(000)</B></FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><FONT STYLE="font-size: 9pt"><B>Unrealized<BR>Appreciation</B></FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Commonwealth Bank of</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Australia</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">1.00%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Deutsche Bank AG</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">6/20/17</FONT></TD>

   <TD STYLE="text-indent: 10.67pt; text-align: left"><FONT STYLE="font-size: 9pt">$ 1,643</FONT></TD>

   <TD STYLE="text-align: left; vertical-align: bottom"><FONT STYLE="font-size: 9pt">$</FONT></TD>
   <TD STYLE="text-align: right"><FONT STYLE="font-size: 9pt"> 7,809</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Commonwealth Bank of</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left"><FONT STYLE="font-size: 9pt">Australia</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">1.00%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Deutsche Bank AG</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">6/20/17</FONT></TD>

   <TD STYLE="text-indent: 10.67pt; text-align: left"><FONT STYLE="font-size: 9pt">$ 1,643</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">2,668</FONT></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><FONT STYLE="font-size: 9pt">National Australia Bank Ltd</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">1.00%</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">Deutsche Bank AG</FONT></TD>

   <TD STYLE="text-align: center"><FONT STYLE="font-size: 9pt">6/20/17</FONT></TD>

   <TD STYLE="text-indent: 10.67pt; text-align: left"><FONT STYLE="font-size: 9pt">$ 1,643</FONT></TD>

   <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-size: 9pt">9,295</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left"><FONT STYLE="font-size: 9pt">National Australia Bank Ltd</FONT></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-size: 9pt">1.00%</FONT></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-size: 9pt">Deutsche Bank AG</FONT></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><FONT STYLE="font-size: 9pt">6/20/17</FONT></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-indent: 10.67pt; text-align: left"><FONT STYLE="font-size: 9pt">$ 1,643</FONT></TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right"><FONT STYLE="font-size: 9pt">4,154</FONT></TD></TR>

<TR vAlign=bottom>

   <TD STYLE="text-align: left; font-weight: bold; width: 24%"><FONT STYLE="font-size: 9pt">Total</FONT></TD>

   <TD STYLE="text-align: left; width: 17%"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left; width: 19%"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left; width: 12%"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="text-align: left; width: 13%"><FONT STYLE="font-size: 9pt">&nbsp;</FONT></TD>

   <TD STYLE="width: 6%; text-align: left; border-bottom: #000000 1px solid; vertical-align: bottom"><FONT STYLE="font-size: 9pt">$</FONT></TD>
   <TD STYLE="width: 8%; text-align: right; border-bottom: #000000 1px solid"><FONT STYLE="font-size: 9pt"> 23,926</FONT></TD></TR></TABLE></DIV>

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">&#8226;</TD><TD>Credit default swaps on traded indexes - buy protection outstanding
as of May 31, 2012 were as follows:</TD>
</TR></TABLE>



<DIV align=left>

<TABLE BORDER="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Arial">



<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left; border-top: Black 1px solid"><B>&nbsp;</B></TD>

   <TD STYLE="text-align: center; border-top: Black 1px solid"><B>Pay</B></TD>

   <TD STYLE="text-align: left; border-top: Black 1px solid"><B>&nbsp;</B></TD>

   <TD STYLE="text-align: left; border-top: Black 1px solid"><B>&nbsp;</B></TD>

   <TD COLSPAN="2" STYLE="text-align: center; border-top: Black 1px solid"><B>Notional</B></TD>

   <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom; border-top: Black 1px solid"><B>&nbsp;</B></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left"><B>&nbsp;</B></TD>

   <TD STYLE="text-align: center"><B>Fixed</B></TD>

   <TD STYLE="text-align: left"><B>&nbsp;</B></TD>

   <TD STYLE="text-align: center"><B>Expiration</B></TD>

   <TD COLSPAN="2" STYLE="text-align: center"><B>Amount</B></TD>

   <TD COLSPAN="2" STYLE="text-align: center; vertical-align: bottom"><B>Unrealized</B></TD></TR>


<TR vAlign=bottom>

   <TD NOWRAP STYLE="border-bottom: #000000 1px solid; text-align: left"><B>Index</B></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><B>Rate</B></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><B>Counterparty</B></TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center"><B>Date</B></TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center"><B>(000)</B></TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom"><B>Appreciation</B></TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left">Dow Jones CDX</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left">North America</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left">Investment Grade</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left; width: 19%">Index Series 16</TD>

   <TD STYLE="text-align: center; width: 12%">1.00%</TD>

   <TD STYLE="text-align: center; width: 28%">Morgan Stanley &amp; Co., Inc.</TD>

   <TD STYLE="text-align: center; width: 13%">6/20/16</TD>

   <TD STYLE="width: 5%; text-align: left; vertical-align: bottom">$</TD>
   <TD STYLE="width: 9%; text-align: right; padding-right: 9"> 7,700</TD>

   <TD STYLE="text-align: left; vertical-align: bottom; width: 4%">$</TD>
   <TD STYLE="text-align: right; vertical-align: bottom; width: 7%"> 52,782</TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left">Dow Jones CDX</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left">North America </TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left">High Yield </TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD COLSPAN="2" STYLE="text-align: right; vertical-align: bottom">&nbsp;</TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="border-bottom: #000000 1px solid; text-align: left">Index Series 18</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center">5.00%</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center">Bank of America NA</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: center">6/20/17</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom">$</TD>
   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; padding-right: 9"> 6,500</TD>

   <TD COLSPAN="2" STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom">162,016</TD></TR>

<TR vAlign=bottom>

   <TD NOWRAP STYLE="text-align: left; font-weight: bold">Total</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left">&nbsp;</TD>

   <TD STYLE="text-align: left; padding-right: 9">&nbsp;</TD>

   <TD STYLE="border-bottom: #000000 1px solid; text-align: left; vertical-align: bottom">$</TD>
   <TD STYLE="border-bottom: #000000 1px solid; text-align: right; vertical-align: bottom"> 214,798</TD></TR></TABLE></DIV>

<P style="MARGIN: 0px">&nbsp;</P></DIV>
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    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-top: 12pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD NOWRAP STYLE="text-align: left; width: 33%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->18<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_19"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>
<TR vAlign=bottom>
   <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 12pt; color: rgb(57,76,135); width: 56%"><FONT STYLE="font-size: 12pt; color: #000080">Consolidated Schedule of Investments </FONT><FONT color=#000080 STYLE="font-size: 9pt">(continued)</FONT></TD>
   <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: bold 8pt Arial, Helvetica, Sans-Serif; width: 43%"><FONT STYLE="font-size: 8pt; color: #000080"><B>BlackRock Limited Duration Income Trust (BLW)</B></FONT></TD></TR></TABLE></DIV>

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

<P style="TEXT-ALIGN: left">&#8226; Credit default swaps on traded indexes - sold protection outstanding as of May 31, 2012 were as follows:</P>

<DIV align=left>

<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>



<TR vAlign=bottom>

   <TD NOWRAP STYLE="border-bottom: Black 1px solid; width: 15%; text-align: left; border-top: Black 1px solid"><B>Index</B></TD>

   <TD STYLE="width: 9%; text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Receive<BR>Fixed<BR>Rate</B></TD>

   <TD STYLE="border-bottom: Black 1px solid; width: 24%; text-align: center; border-top: Black 1px solid"><B>Counterparty/Exchange</B></TD>

   <TD STYLE="width: 13%; text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Expiration<BR>Date</B></TD>

   <TD STYLE="width: 10%; text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Credit<BR>Rating<SUP>1</SUP></B></TD>

   <TD STYLE="width: 13%; text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Notional<BR>Amount<BR>(000)<SUP>2</SUP></B></TD>

   <TD STYLE="width: 13%; text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Unrealized<BR>Appreciation</B></TD></TR>




<TR vAlign=bottom>

   <TD NOWRAP STYLE="border-bottom: #000000 1px solid; width: 15%; text-align: left">Dow Jones CDX<BR>
North America<BR>
Investment Grade<BR>
Index Series 16</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="9%" align=center>1.00%</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="24%" align=center>Morgan Stanley &amp; Co., Inc.</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="13%" align=center>6/20/16</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="10%" align=center>BBB+</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid; TEXT-INDENT: 9.36pt" width="13%" align=left>$ 7,700</TD>

   <TD WIDTH="13%" STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">$ 60,024</TD></TR></TABLE></DIV>

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left"><SUP>1</SUP></TD><TD>Using the S&amp;P&#8217;s rating.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left"><SUP>2</SUP></TD><TD>The maximum potential amount the Trust may pay should a negative
credit event take place as defined under the terms of agreement.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">&#8226;</TD><TD>Interest rate swaps outstanding as of May 31, 2012 were as
follows:</TD>
</TR></TABLE>

<DIV align=left>

<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>



<TR vAlign=bottom>

   <TD STYLE="width: 8%; text-align: left; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Fixed<BR>Rate</B></TD>

   <TD STYLE="width: 19%; text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Floating<BR>Rate</B></TD>

   <TD STYLE="width: 24%; text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Counterparty</B></TD>

   <TD STYLE="width: 17%; text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Expiration<BR>Date</B></TD>

   <TD STYLE="width: 15%; text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Notional<BR>Amount<BR>(000)</B></TD>

   <TD STYLE="width: 15%; text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><B>Unrealized<BR>Depreciation</B></TD></TR>

<TR vAlign=bottom>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="8%" align=left>1.10%<SUP>3</SUP></TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="19%" align=center>3-month LIBOR</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="24%" align=center>Deutsche Bank AG</TD>

   <TD style="BORDER-BOTTOM: #000000 1px solid" width="17%" align=center>5/14/17</TD>

   <TD WIDTH="15%" STYLE="border-bottom: #000000 1px solid; text-indent: 7.8pt; text-align: center; vertical-align: bottom">$ 14,500</TD>

   <TD WIDTH="15%" STYLE="border-bottom: #000000 1px solid; text-align: center; vertical-align: bottom">$ (71,120)</TD></TR></TABLE></DIV>

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left"><SUP>3</SUP></TD><TD>Pays fixed interest rate and receives floating rate.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">&#8226;</TD><TD>For Trust compliance purposes, the Trust&#8217;s industry
classifications refer to any one or more of the industry sub-classifications used by one or more widely recognized market indexes
or rating group indexes, and/or as defined by Trust management. These definitions may not apply for purposes of this report, which
may combine such industry sub-classifications for reporting ease.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left">&#8226;</TD><TD>Fair Value Measurements - Various inputs are used in determining
the fair value of investments and derivative financial instruments. These inputs are categorized into a disclosure hierarchy consisting
of three broad levels for financial reporting purposes as follows:</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 20pt"></TD><TD STYLE="width: 20pt; text-align: left">&#8226;</TD><TD>Level 1 &#8212; unadjusted price quotations in active
markets/exchanges for identical assets and liabilities</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 20pt"></TD><TD STYLE="width: 20pt; text-align: left">&#8226;</TD><TD>Level 2 &#8212; other observable inputs (including, but
not limited to: quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar
assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities
(such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other
market-corroborated inputs)</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 20pt"></TD><TD STYLE="width: 20pt; text-align: left">&#8226;</TD><TD>Level 3 &#8212; unobservable inputs based on the best
information available in the circumstances, to the extent observable inputs are not available (including the Trust's own assumptions
used in determining the fair value of investments and derivative financial instruments)</TD>
</TR></TABLE>

<P style="TEXT-ALIGN: left">Changes in valuation techniques may result in transfers into or out of an assigned level within the disclosure hierarchy. In accordance with the Trust's policy, transfers between different levels of the fair value disclosure
hierarchy are deemed to have occurred as of the beginning of the reporting period. The categorization of a value determined for investments and derivative financial instruments is based on the pricing transparency of the investment and derivative
financial instruments and is not necessarily an indication of the risks associated with investing in those securities. For information about the Trust's policy regarding valuation of investments and derivative financial instruments and other significant
accounting policies, please refer to the Trust's most recent financial statements as contained in its semi-annual report.</P></DIV>
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    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>
<TR vAlign=bottom>
   <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 12pt; color: rgb(57,76,135); width: 56%"><FONT STYLE="font-size: 12pt; color: #000080">Consolidated Schedule of Investments </FONT><FONT color=#000080 STYLE="font-size: 9pt">(continued)</FONT></TD>
   <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: bold 8pt Arial, Helvetica, Sans-Serif; width: 43%"><FONT STYLE="font-size: 8pt; color: #000080"><B>BlackRock Limited Duration Income Trust (BLW)</B></FONT></TD></TR></TABLE></DIV>

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

<P style="TEXT-ALIGN: left">The following tables summarize the inputs used as of May 31, 2012 in determining the fair valuation of the Trust's investments and derivative financial instruments:</P>

<DIV align=left>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; border-bottom: Black 1px solid; border-top: Black 1px solid"><B>Valuation Inputs</B></TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid"><B>&nbsp;</B></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid; vertical-align: bottom"><B>Level 1</B></TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid; text-align: center; vertical-align: bottom"><B>&nbsp;</B></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid; vertical-align: bottom"><B>Level 2</B></TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid; text-align: center; vertical-align: bottom"><B>&nbsp;</B></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid; vertical-align: bottom"><B>Level 3</B></TD><TD STYLE="border-bottom: Black 1px solid; border-top: Black 1px solid; text-align: center; vertical-align: bottom"><B>&nbsp;</B></TD>
    <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid; vertical-align: bottom"><B>Total</B></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Assets:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Investments:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 7.19pt">Long Term Investments:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 9.83pt">Asset-Backed</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 40%; text-align: left; text-indent: 9.83pt">Securities</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 10%; text-align: right">&mdash;</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 10%; text-align: right">29,740,356</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 10%; text-align: right">9,127,460</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 10%; text-align: right">38,867,816</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 9.83pt">Common Stocks</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">8,390,714</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,550,940</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">10,941,654</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 9.83pt">Corporate Bonds</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">386,106,530</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,727</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">386,108,257</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 9.83pt">Floating Rate</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 9.83pt">Loan Interests</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">270,006,704</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">24,718,741</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">294,725,445</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 9.83pt">Non-Agency</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 9.83pt">Mortgage-Backed</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 9.83pt">Securities</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">83,077,039</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">83,077,039</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 9.83pt">Other Interests</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,428,209</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,428,209</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 9.83pt">Preferred</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 9.83pt">Securities</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$</TD><TD STYLE="text-align: right">2,048,131</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">687,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2,735,131</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 9.83pt">Taxable Municipal</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 9.83pt">Bonds</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9,083,887</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">9,083,887</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 9.83pt">US Government</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 9.83pt">Sponsored</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 9.83pt">Agency Securities</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">55,534,827</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">55,534,827</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 9.83pt">US Treasury</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 9.83pt">Obligations</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,746,227</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,746,227</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 9.83pt">Warrants</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">303,930</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">2</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">303,932</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 4.31pt">Short-Term</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 4.31pt">Securities</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,447,264</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,447,264</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Liabilities:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 4.31pt">Unfunded loan</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px; text-indent: 4.31pt">commitments</TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(209,483</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(209,483</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 1px">Total</TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">3,495,395</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">844,467,731</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">37,827,079</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 2px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 2px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 2px solid; text-align: right">885,790,205</TD><TD STYLE="border-bottom: Black 2px solid; text-align: left">&nbsp;</TD></TR>
</TABLE>
</DIV>

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

<DIV align=left>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; border-bottom: Black 1px solid; border-top: Black 1px solid">Valuation Inputs</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Level 1</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Level 2</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Level 3</TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; vertical-align: bottom; border-top: Black 1px solid">Total</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Derivative Financial Instruments<SUP>1</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Assets:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 3.47pt">Foreign</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 3.47pt">currency</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 3.47pt">exchange</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 40%; text-align: left; text-indent: 3.47pt">contracts</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 10%; text-align: right">&mdash;</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 10%; text-align: right">3,032,523</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 10%; text-align: right">&mdash;</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 10%; text-align: right">3,032,523</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 3.47pt">Interest rate</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 3.47pt">contracts </TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">$&nbsp;</TD><TD STYLE="text-align: right">314,148</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">314,148</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 3.47pt">Credit</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 3.47pt">contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">298,748</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">298,748</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Liabilities:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 3.47pt">Foreign</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 3.47pt">currency</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 3.47pt">exchange</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 3.47pt">contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(525,339</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(525,339</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 3.47pt">Interest rate</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px; text-indent: 3.47pt">contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(138,034</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(71,120</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(209,154</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 1px">Total</TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">176,114</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">2,734,812</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">2,910,926</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD></TR>
</TABLE>
</DIV>

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left"><SUP>1</SUP></TD><TD>Derivative financial instruments are swaps, financial futures
contracts, foreign currency exchange contracts and options. Swaps, financial futures contracts and foreign currency exchange contracts
are valued at the unrealized appreciation/depreciation on the instrument and options are shown at value.</TD>
</TR></TABLE>
<!-- Field: Page; Sequence: 21; Value: 1 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-top: 12pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD NOWRAP STYLE="text-align: left; width: 33%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->20<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
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<A name="page_21"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>
<TR vAlign=bottom>
   <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 12pt; color: rgb(57,76,135); width: 56%"><FONT STYLE="font-size: 12pt; color: #000080">Consolidated Schedule of Investments </FONT><FONT color=#000080 STYLE="font-size: 9pt">(continued)</FONT></TD>
   <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: bold 8pt Arial, Helvetica, Sans-Serif; width: 43%"><FONT STYLE="font-size: 8pt; color: #000080"><B>BlackRock Limited Duration Income Trust (BLW)</B></FONT></TD></TR></TABLE></DIV>

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

<P style="TEXT-ALIGN: left">Certain of the Trust&#8217;s assets and liabilities are held at carrying amount, which approximates fair value for financial reporting purposes. As of May 31, 2012, such assets and liabilities are categorized within the
disclosure hierarchy as follows:</P>

<DIV align=left>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; border-bottom: Black 1px solid; border-top: Black 1px solid"><B>Valuation Inputs</B></TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid"><B>&nbsp;</B></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; vertical-align: bottom; border-top: Black 1px solid"><B>Level 1</B></TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; border-top: Black 1px solid"><B>&nbsp;</B></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; vertical-align: bottom; border-top: Black 1px solid"><B>Level 2</B></TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; border-top: Black 1px solid"><B>&nbsp;</B></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; vertical-align: bottom; border-top: Black 1px solid"><B>Level 3</B></TD><TD STYLE="border-bottom: Black 1px solid; text-align: center; vertical-align: bottom; border-top: Black 1px solid"><B>&nbsp;</B></TD>
    <TD COLSPAN="3" STYLE="text-align: center; border-bottom: Black 1px solid; vertical-align: bottom; border-top: Black 1px solid"><B>Total</B></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Assets:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 40%; text-align: left">Cash</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 10%; text-align: right">6,000</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 10%; text-align: right">&mdash;</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 10%; text-align: right">&mdash;</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD><TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 10%; text-align: right">6,000</TD><TD STYLE="width: 1%; text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Foreign</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">currency</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">87,501</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">87,501</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Cash pledged</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">as collateral</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">for reverse</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">repurchase</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">agreements</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,003,000</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">1,003,000</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Cash pledged</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">as collateral</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">for financial</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">futures</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">contracts</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">445,500</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">445,500</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Liabilities:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Cash held as</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">collateral for</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">swaps</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(600,000</TD><TD STYLE="text-align: left">)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(600,000</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Reverse</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Repurchase</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px">Agreements</TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(260,700,021</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(260,700,021</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 1px">Total</TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">942,001</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(260,700,021</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">$</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(259,758,020</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD></TR>
</TABLE>
</DIV>

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

<P style="TEXT-ALIGN: left">There were no transfers between Level 1 and Level 2 during the period ended May 31, 2012.</P>

<P style="TEXT-ALIGN: left">Certain of the Trust's investments are categorized as Level 3 investments with values derived utilizing prices from prior transactions or third party pricing information without adjustment for which such inputs are
unobservable. A significant change in the unobservable inputs could result in a significantly lower or higher value in such Level 3 investments.</P>

<P style="TEXT-ALIGN: left">The following table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:</P>

<DIV align=left><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 8pt Arial, Helvetica,
Sans-Serif"> <TR STYLE="vertical-align: bottom"><TD STYLE="font-weight: bold; text-align: center; border-top: Black 1px solid; border-bottom: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-size: 7.5pt">Asset-<BR>Backed<BR>Securities</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-size: 7.5pt">Common<BR>Stocks</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-size: 7.5pt">Corporate<BR>Bonds</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-size: 7.5pt">Floating
    Rate<BR>Loan<BR>Interests</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-size: 7.5pt">Non-Agency<BR>Mortgage<BR>Backed<BR>Securities</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-size: 7.5pt">Other<BR>Interests</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-size: 7.5pt">Preferred
    <BR>Securities</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-size: 7.5pt">Warrants</FONT></TD><TD STYLE="font-weight: bold; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid"><FONT STYLE="font-size: 7.5pt">Total</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-size: 7.5pt">Assets:</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">Opening balance, as of</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 28%; text-align: left"><FONT STYLE="font-size: 7.5pt">August 31, 2011</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 7.5pt">$</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-size: 7.5pt">11,549,300</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 7.5pt">$</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-size: 7.5pt">3,358,522</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 7.5pt">$</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-size: 7.5pt">186,065</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 7.5pt">$</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-size: 7.5pt">38,869,232</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 7.5pt">$</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-size: 7.5pt">2,829,283</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 7.5pt">$</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-size: 7.5pt">1,441,471</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 7.5pt">$</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-size: 7.5pt">384,565</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 7.5pt">$</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-size: 7.5pt">292,017</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="width: 2%"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 7.5pt">$</FONT></TD><TD STYLE="width: 4%; text-align: right"><FONT STYLE="font-size: 7.5pt">58,910,455</FONT></TD><TD STYLE="width: 1%; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">Transfers into Level 3<SUP>1</SUP></FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">65,436</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">1,144,030</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">1,209,466</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">Transfers out of Level 3<SUP>1</SUP></FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">(953,319</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">)</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">(14,585,486</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">)</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">(2,829,283</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">)</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">(292,010</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">)</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">(18,660,098</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">Accrued discounts/premiums</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">(194,003</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">)</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">705</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">80,073</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">(113,225</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">Net realized gain (loss)</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">(281,116</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">)</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">66,012</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">(725,370</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">)</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">1,455</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">452,430</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">(486,589</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">Net change in unrealized</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; vertical-align: bottom">&nbsp;&nbsp;<FONT STYLE="font-size: 7.5pt">appreciation/depreciation<SUP>2</SUP></FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">652,493</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">(1,202,220</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">)</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">(57,055</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">)</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">635,106</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">(23,094</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">)</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">(384,565</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">)</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">(5</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">)</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">(379,340</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">Purchases</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">2,336,778</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">329,202</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">3,465,286</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">9,832</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">6,141,098</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px"><FONT STYLE="font-size: 7.5pt">Sales</FONT></TD><TD STYLE="border-bottom: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: right"><FONT STYLE="font-size: 7.5pt">(3,982,673</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">)</FONT></TD><TD STYLE="border-bottom: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: right"><FONT STYLE="font-size: 7.5pt">(194,000</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">)</FONT></TD><TD STYLE="border-bottom: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: right"><FONT STYLE="font-size: 7.5pt">(4,164,130</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">)</FONT></TD><TD STYLE="border-bottom: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: right"><FONT STYLE="font-size: 7.5pt">(1,455</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">)</FONT></TD><TD STYLE="border-bottom: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: right"><FONT STYLE="font-size: 7.5pt">(452,430</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">)</FONT></TD><TD STYLE="border-bottom: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: right"><FONT STYLE="font-size: 7.5pt">(8,794,688</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left"><FONT STYLE="font-size: 7.5pt">Closing balance, as of</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: right"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; padding-bottom: 1px"><FONT STYLE="font-size: 7.5pt">May 31, 2012</FONT></TD><TD STYLE="border-bottom: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">$</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: right"><FONT STYLE="font-size: 7.5pt">9,127,460</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">$</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: right"><FONT STYLE="font-size: 7.5pt">2,550,940</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">$</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: right"><FONT STYLE="font-size: 7.5pt">1,727</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">$</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: right"><FONT STYLE="font-size: 7.5pt">24,718,741</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">$</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: right"><FONT STYLE="font-size: 7.5pt">1,428,209</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: right"><FONT STYLE="font-size: 7.5pt">&mdash;</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">$</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: right"><FONT STYLE="font-size: 7.5pt">2</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD><TD STYLE="border-bottom: Black 1px solid"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">$</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: right"><FONT STYLE="font-size: 7.5pt">37,827,079</FONT></TD><TD STYLE="border-bottom: Black 1px solid; text-align: left"><FONT STYLE="font-size: 7.5pt">&nbsp;</FONT></TD></TR>
</TABLE>
</DIV>

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 7.5pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left"><SUP>1</SUP></TD><TD>Transfers into and transfers out of Level 3 represent the
beginning of the reporting period value. As of August 31, 2011, the Trust used significant unobservable inputs in determining
the value of certain investments. As of May 31, 2012, the Trust used observable inputs in determining the value on the same investments.
As a result, investments with a beginning of period value of $18,660,098 transferred from Level 3 to Level 2 in the disclosure
hierarchy.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 7.5pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left"><SUP>2</SUP></TD><TD>The change in unrealized appreciation/depreciation on investments
still held as of May 31, 2012 was $(911,353).</TD>
</TR></TABLE>
<!-- Field: Page; Sequence: 22; Value: 1 -->
    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-top: 12pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD NOWRAP STYLE="text-align: left; width: 33%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->21<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<A name="page_22"></A><BR>

<DIV style="PADDING-LEFT: 0%; PADDING-RIGHT: 0%">

<DIV align=left>

<TABLE style="WIDTH: 100%; FONT-FAMILY: 'Arial'; FONT-SIZE: 10pt" border=0 cellSpacing=0>
<TR vAlign=bottom>
   <TD STYLE="border-top: rgb(57,76,135) 4pt solid; font-size: 12pt; color: rgb(57,76,135); width: 56%"><FONT STYLE="font-size: 12pt; color: #000080">Consolidated Schedule of Investments </FONT><FONT color=#000080 STYLE="font-size: 9pt">(concluded)</FONT></TD>
   <TD STYLE="text-align: right; border-top: rgb(57,76,135) 4pt solid; font: bold 8pt Arial, Helvetica, Sans-Serif; width: 43%"><FONT STYLE="font-size: 8pt; color: #000080"><B>BlackRock Limited Duration Income Trust (BLW)</B></FONT></TD></TR></TABLE></DIV>

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

<P style="TEXT-ALIGN: left">The following table is a reconciliation of Level 3 derivative financial instruments for which significant unobservable inputs were used in determining fair value:</P>

<DIV align=left>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="border-collapse: collapse; width: 100%; font: 10pt Arial, Helvetica, Sans-Serif">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left; border-top: Black 1px solid; border-bottom: Black 1px solid">&nbsp;</TD><TD STYLE="font-weight: bold; border-top: Black 1px solid; border-bottom: Black 1px solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-bottom: Black 1px solid; border-top: Black 1px solid">Credit contracts</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; text-align: left">Liabilities:</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Opening balance, as of</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 70%; text-align: left">August 31, 2011</TD><TD STYLE="width: 10%">&nbsp;</TD>
    <TD STYLE="width: 1%; text-align: left">$</TD><TD STYLE="width: 18%; text-align: right">(3,846</TD><TD STYLE="width: 1%; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Transfers into Level 3<SUP>1</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Transfers out of Level 3<SUP>1</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Accrued discounts/premiums</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">22,370</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Net realized gain (loss)</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Net change in unrealized</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; text-indent: 6.6pt">appreciation/depreciation<SUP>3</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">(3,846</TD><TD STYLE="text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Purchases</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Issues<SUP>4</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left">Sales</TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&mdash;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px">Settlements<SUP>5</SUP></TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">(22,370</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">)</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left"><B>Closing balance, as of</B></TD><TD>&nbsp;</TD>
    <TD STYLE="text-align: left">&nbsp;</TD><TD STYLE="text-align: right">&nbsp;</TD><TD STYLE="text-align: left">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="text-align: left; padding-bottom: 1px"><B>May 31, 2012</B></TD><TD>&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: right">&mdash;</TD><TD STYLE="border-bottom: Black 1px solid; text-align: left">&nbsp;</TD></TR>
</TABLE>
</DIV>

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

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left"><SUP>3</SUP></TD><TD>The change in unrealized appreciation/depreciation on derivative
financial instruments still held as of May 31, 2012 was $0.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left"><SUP>4</SUP></TD><TD>Issues represent upfront cash received on certain derivative
financial instruments<FONT STYLE="color: #231f20">.</FONT></TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font-size: 10pt; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 20pt; text-align: left"><SUP>5</SUP></TD><TD>Settlements represent periodic contractual cash flows and/or
cash flows to terminate certain derivative financial instruments<FONT STYLE="color: #231f20">.</FONT></TD>
</TR></TABLE>

<P style="TEXT-ALIGN: left">A reconciliation of Level 3 investments and derivative financial instruments is presented when the Trust had a significant amount of Level 3 investments and derivative financial instruments at the beginning and/or end of the
period in relation to net assets.</P></DIV></DIV></DIV>
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    <DIV STYLE="margin-top: 12pt; margin-bottom: 6pt; padding-top: 12pt; padding-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD NOWRAP STYLE="text-align: left; width: 33%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: center; width: 34%">MAY 31, 2012</TD><TD STYLE="text-align: right; width: 33%"><!-- Field: Sequence; Type: Arabic; Name: PageNo -->22<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 12pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 10pt Times New Roman, Times, Serif"><TR><TD STYLE="text-align: center; width: 100%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->



<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 6pt"><FONT STYLE="font-family: Times New Roman, Times, Serif">Item 2 &ndash; Controls and Procedures</FONT></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 40pt; text-align: left"><FONT STYLE="font-family: Times New Roman, Times, Serif">2(a) &ndash;
&#9;</FONT></TD><TD><FONT STYLE="font-family: Times New Roman, Times, Serif">The registrant's principal executive and principal financial officers, or persons performing similar functions, have concluded
that the registrant's disclosure controls and procedures (as defined in Rule 30a-3(c) under the Investment Company Act of 1940,
as amended (the &Prime;1940 Act&Prime;)) are effective as of a date within 90 days of the filing of this report based on the evaluation
of these controls and procedures required by Rule 30a-3(b) under the 1940 Act and Rule 13a-15(b) under the Securities Exchange
Act of 1934, as amended.</FONT></TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 40pt; text-align: left"><FONT STYLE="font-family: Times New Roman, Times, Serif">2(b) &ndash;
&#9;</FONT></TD><TD><FONT STYLE="font-family: Times New Roman, Times, Serif">There were no changes in the registrant's internal control over financial reporting (as defined in Rule 30a-3(d) under the
1940 Act) that occurred during the registrant's last fiscal quarter that have materially affected, or are reasonably likely to
materially affect, the registrant's internal control over financial reporting.</FONT></TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 40pt; text-align: left"><FONT STYLE="font-family: Times New Roman, Times, Serif">Item 3
&ndash; </FONT></TD><TD><FONT STYLE="font-family: Times New Roman, Times, Serif">Exhibits</FONT></TD>
</TR></TABLE>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; margin-left: 40pt; text-indent: 0pt"><FONT STYLE="font-family: Times New Roman, Times, Serif">Certifications
&ndash; Attached hereto</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; margin-left: 40pt; text-indent: 0pt"><FONT STYLE="font-family: Times New Roman, Times, Serif">Pursuant
to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, the registrant has duly caused
this report to be signed on its behalf by the undersigned, thereunto duly authorized.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt"><FONT STYLE="font-family: Times New Roman, Times, Serif"></FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; margin-left: 40pt; text-indent: 0pt"><FONT STYLE="font-family: Times New Roman, Times, Serif">BlackRock
Limited Duration Income Trust</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt"><FONT STYLE="font-family: Times New Roman, Times, Serif"></FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 11pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 8%"><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 6%"><FONT STYLE="font-family: Times New Roman, Times, Serif">By:</FONT></TD>
    <TD STYLE="width: 44%; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Times New Roman, Times, Serif">/s/ John M. Perlowski</FONT></TD>
    <TD STYLE="width: 42%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-family: Times New Roman, Times, Serif">John
    M. Perlowski</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-family: Times New Roman, Times, Serif">Chief
    Executive Officer (principal executive officer) of</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-family: Times New Roman, Times, Serif">BlackRock
    Limited Duration Income Trust</FONT></TD></TR>
</TABLE>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt"><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; margin-left: 40pt; text-indent: 0pt"><FONT STYLE="font-family: Times New Roman, Times, Serif">Date:
July 25, 2012</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; margin-left: 40pt; text-indent: 0pt"><FONT STYLE="font-family: Times New Roman, Times, Serif">Pursuant
to the requirements of the Securities Exchange Act of 1934 and the Investment Company Act of 1940, this report has been signed
below by the following persons on behalf of the registrant and in the capacities and on the dates indicated.</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt"><FONT STYLE="font-family: Times New Roman, Times, Serif"></FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 11pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 8%"><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 6%"><FONT STYLE="font-family: Times New Roman, Times, Serif">By:</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; width: 44%"><FONT STYLE="font-family: Times New Roman, Times, Serif">/s/ John M. Perlowski</FONT></TD>
    <TD STYLE="width: 42%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-family: Times New Roman, Times, Serif">John
    M. Perlowski</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-family: Times New Roman, Times, Serif">Chief
    Executive Officer (principal executive officer) of</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-family: Times New Roman, Times, Serif">BlackRock
    Limited Duration Income Trust</FONT></TD></TR>
</TABLE>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt"><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; margin-left: 40pt; text-indent: 0pt"><FONT STYLE="font-family: Times New Roman, Times, Serif">Date:
July 25, 2012</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt"><FONT STYLE="font-family: Times New Roman, Times, Serif"></FONT></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 11pt Times New Roman, Times, Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 8%"><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD STYLE="width: 6%"><FONT STYLE="font-family: Times New Roman, Times, Serif">By:</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; width: 44%"><FONT STYLE="font-family: Times New Roman, Times, Serif">/s/ Neal J. Andrews</FONT></TD>
    <TD STYLE="width: 42%">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-family: Times New Roman, Times, Serif">Neal
    J. Andrews</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-family: Times New Roman, Times, Serif">Chief
    Financial Officer (principal financial officer) of</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-family: Times New Roman, Times, Serif">BlackRock
    Limited Duration Income Trust</FONT></TD></TR>
</TABLE>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt"><FONT STYLE="font-family: Times New Roman, Times, Serif">&nbsp;</FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 6pt; margin-left: 40pt; text-indent: 0pt"><FONT STYLE="font-family: Times New Roman, Times, Serif">Date:
July 25, 2012</FONT></P>

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<TYPE>EX-99.CERT
<SEQUENCE>2
<FILENAME>e49244ex99cert.htm
<DESCRIPTION>CERTIFICATION
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<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0; text-indent: -0.25pt"><FONT STYLE="vertical-align: baseline"><B>EX-99.
CERT</B></FONT></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0; text-indent: 0in; border-bottom: Black 0.75pt solid"><B>CERTIFICATION
PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002</B></P>

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

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

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

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



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



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



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

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

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

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

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt">5.&#9;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;The registrant's other certifying officer(s) and I
have disclosed to the registrant's auditors and the audit committee of the registrant's board of directors (or persons performing
the equivalent functions):</P>

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



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



<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt">Date: July 25, 2012</P>

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

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

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

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

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0; text-indent: 0in; border-bottom: Black 0.75pt solid"><B>CERTIFICATION
PURSUANT TO RULE 30a-2(a) UNDER THE 1940 ACT AND SECTION 302 OF THE SARBANES-OXLEY ACT OF 2002</B></P>

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

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

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

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

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

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

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

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

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

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

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

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

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

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0 0 11pt; text-indent: -0.25pt">Date: July 25, 2012</P>

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

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

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

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

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

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