<SEC-DOCUMENT>0000891092-13-000568.txt : 20130124
<SEC-HEADER>0000891092-13-000568.hdr.sgml : 20130124
<ACCEPTANCE-DATETIME>20130124152859
ACCESSION NUMBER:		0000891092-13-000568
CONFORMED SUBMISSION TYPE:	N-Q
PUBLIC DOCUMENT COUNT:		2
CONFORMED PERIOD OF REPORT:	20121130
FILED AS OF DATE:		20130124
DATE AS OF CHANGE:		20130124
EFFECTIVENESS DATE:		20130124

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:		13545482

	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>e51579nq.htm
<DESCRIPTION>QUARTERLY SCHEDULE
<TEXT>
<HTML>
<HEAD>
     <TITLE></TITLE>
</HEAD>
<BODY STYLE="font: 10pt Times New Roman, Times, Serif">

<P STYLE="margin: 0"></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0; text-align: center"><FONT STYLE="font-weight: normal; vertical-align: baseline">UNITED
STATES</FONT></P>

<P STYLE="font: 12pt Times New Roman, Times, Serif; margin-top: 0; margin-bottom: 0; text-align: center"><FONT STYLE="font-weight: normal; vertical-align: baseline">SECURITIES
AND EXCHANGE COMMISSION </FONT></P>

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

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

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

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

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

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

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

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

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">&nbsp;</P>

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

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">&nbsp;</P>



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

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">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</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">&nbsp;</P>

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

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">Date of fiscal year end: 08/31/2013</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">Date of reporting period: 11/30/2012</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in; text-indent: -0.5in">&nbsp;</P>

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


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<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; border-collapse: collapse; margin-bottom: 12pt">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 65%; font: 12pt Arial, Helvetica, Sans-Serif; color: navy; border-top: navy 6px solid"><FONT STYLE="font-size: 13.5pt">Consolidated
    Schedule of Investments</FONT><FONT STYLE="font-size: 14pt"> </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">November
    30, 2012 (Unaudited)</FONT><FONT STYLE="font-size: 14pt"> </FONT></TD>
    <TD STYLE="width: 35%; border-top: navy 6px solid">
        <P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B>BlackRock Limited Duration Income Trust (BLW)</B></P>
        <P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B>(Percentages shown are based on
        Net Assets)</B></P></TD></TR>
</TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asset-Backed Securities </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">321 Henderson Receivables I LLC (a):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2010-2A, Class A, 4.07%, 1/15/48 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,508</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,630,696</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2010-3A, Class A, 3.82%, 12/15/48 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,249</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,524,432</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AmeriCredit Automobile Receivables Trust:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2012-2, Class D, 3.38%, 4/09/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,990</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,062,539</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2012-5, Class E, 3.29%, 5/08/20 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,480</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,480,306</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Anchorage Capital CLO Ltd., Series 2012-1A, Class B, 1.00%, 1/13/25 (a)(b)(c)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,000</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,780,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capital One Multi-Asset Execution Trust, Series 4-3C, 6.63%, 4/19/17 (b)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,650</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,390,915</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Carlyle Global Market Strategies, Series 2012-4A, Class D, 1.00%, 1/20/25 (a)(b)(c)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">800</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">773,456</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CarMax Auto Owner Trust, Series 2012-3, Class D, 2.29%, 4/15/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,530</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,530,428</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Conseco Financial Corp., Series 1995-5, Class M1, 7.65%, 9/15/26 (b)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">467</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">473,654</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Countrywide Asset-Backed Certificates (b):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-10, Class 2A1, 0.26%, 6/25/47 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63,868</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-12, Class 2A1, 0.56%, 8/25/47 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">861</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">851,919</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-7, Class 2A2, 0.37%, 10/25/47 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,873</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,753,549</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CSAM Funding, Series 2A, Class B1, 7.05%, 10/15/16 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">750</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">780,975</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ford Credit Floorplan Master Owner Trust:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2010-5, Class C, 2.07%, 9/15/15 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">890</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">896,298</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2011-2, Class C, 2.37%, 9/15/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,125</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,127,688</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2011-2, Class D, 2.86%, 9/15/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,145</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,147,683</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fraser Sullivan CLO Ltd., Series 2012-7A, Class C, 4.32%, 4/20/23 (a)(b)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,090</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,026,442</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goldentree Loan Opportunities VI Ltd., Series 2012-6A, Class D, 4.53%, 4/17/22 (a)(b)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,500</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,429,950</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GSAA Trust, Series 2007-3, Class 1A2, 0.38%, 3/25/47 (b)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,028</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,362,630</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ING Investment Management (a)(b):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2012-2A, Class D, 4.99%, 10/15/22 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,800</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,737,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asset-Backed Securities </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ING Investment Management (a)(b) (concluded):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2012-4A, Class C, 4.73%, 10/15/23 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">800</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">770,720</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Octagon Investment Partners Ltd., Series 2012-1A, Class C, 4.31%, 1/15/24 (a)(b)(c)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,050</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">970,200</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Santander Consumer Acquired Receivables Trust, Series 2011-S1A, Class D, 3.15%, 8/15/16 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,147</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,162,335</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Santander Drive Auto Receivables Trust:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2011-S1A, Class D, 3.10%, 5/15/17 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">915</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">918,277</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2011-S2A, Class B, 2.06%, 6/15/17 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">481</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">485,510</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2011-S2A, Class C, 2.86%, 6/15/17 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">498</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">502,894</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2012-3, Class D, 3.64%, 5/15/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,865</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,980,967</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SLC Student Loan Trust, Series 2006-A, Class A4, 0.46%, 1/15/19 (b)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">836</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">834,482</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Spirit Issuer Plc, Series A2, 3.30%, 12/28/31 (b)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,800</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,018,710</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sterling Bank Trust, Series 2004-2, Class Note, 2.08%, 3/30/30 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,253</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">882,648</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sterling Coofs Trust, Series 1, 2.36%, 4/15/29 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,974</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">757,413</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">World Financial Network Credit Card Master Trust, Series 2012-C, Class B, 3.57%, 8/15/22 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,000</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,059,580</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Asset-Backed Securities &ndash; 7.8%</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">51,168,164</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="10" STYLE="vertical-align: bottom; padding-bottom: 12pt"> <P STYLE="font: bold 12pt Arial, Helvetica, Sans-Serif; margin-top: 1pt; margin-bottom: 12pt; margin-right: 0; margin-left: 0; border-top: Black 2pt solid; border-bottom: #6297CC 6pt solid">&nbsp;</P></TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Shares</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Common Stocks (d)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Auto Components &mdash; 0.3%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delphi Automotive Plc </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">58,171</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,977,229</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Construction &amp; Engineering &mdash; 0.0%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USI United Subcontractors</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,454</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,908</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Diversified Financial Services &mdash; 0.5%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kcad Holdings I Ltd.</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">384,412,912</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,888,479</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hotels, Restaurants &amp; Leisure &mdash; 0.1%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BLB Worldwide Holdings, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,947</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">746,738</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Travelport Worldwide Ltd.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">176,501</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22,945</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">769,683</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 44%">&nbsp;</TD>
    <TD STYLE="width: 6%">&nbsp;</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 24%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD></TR>
</TABLE>

<!-- Field: Page; Sequence: 1 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->1<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B>(Percentages shown are based on Net Assets)</B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Shares</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Common Stocks (d)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Metals &amp; Mining &mdash; 0.0%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euramax International</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">234</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">45,961</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Software &mdash; 0.2%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bankruptcy Management Solutions, Inc. </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">880</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HMH Holdings/EduMedia </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71,219</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,424,382</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,424,400</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Common Stocks &ndash; 1.1%</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">7,118,660</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="10" STYLE="vertical-align: bottom; padding-bottom: 12pt"> <P STYLE="font: bold 12pt Arial, Helvetica, Sans-Serif; margin-top: 1pt; margin-bottom: 12pt; margin-right: 0; margin-left: 0; border-top: Black 2pt solid; border-bottom: #6297CC 6pt solid">&nbsp;</P></TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aerospace &amp; Defense &mdash; 0.5%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Huntington Ingalls Industries, Inc., 7.13%, 3/15/21 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">650</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">702,813</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kratos Defense &amp; Security Solutions, Inc., 10.00%, 6/01/17 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,966</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,142,940</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Meccanica Holdings USA, Inc., 6.25%, 7/15/19 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">559</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">542,450</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,388,203</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Airlines &mdash; 1.0%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American Airlines Pass-Through Trust, Series 2011-2, Class A, 8.63%, 4/15/23 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">539</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">549,469</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Continental Airlines, Inc., 6.75%, 9/15/15 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,350</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,415,812</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delta Air Lines Pass-Through Trust, Series 2009-1, Class B, 9.75%, 6/17/18 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">253</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">283,185</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US Airways Pass-Through Trust (e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2011-1, Class C, 10.88%, 10/22/14 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,333</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,383,416</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2012-1, Class C, 9.13%, 10/01/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,706</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,814,240</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,446,122</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Auto Components &mdash; 1.4%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Continental Rubber of America Corp., 4.50%, 9/15/19 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">150</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">151,500</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Icahn Enterprises LP (b)(f):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 8/15/13 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,500</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,528,350</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.00%, 8/15/13 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,305</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,319,521</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Jaguar Land Rover Plc, 8.25%, 3/15/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">554</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">976,351</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Titan International, Inc., 7.88%, 10/01/17 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,330</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,399,825</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,375,547</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Beverages &mdash; 0.2%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Crown European Holdings SA:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.13%, 8/15/18 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">440</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">629,467</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.13%, 8/15/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">324</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">463,516</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,092,983</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Building Products &mdash; 0.7%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Building Materials Corp. of America (a)(e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 2/15/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,345</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,466,050</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.75%, 5/01/21 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,030</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,127,850</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Momentive Performance Materials, Inc., 8.88%, 10/15/20 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">530</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">526,025</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USG Corp., 9.75%, 1/15/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,390</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,549,850</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,669,775</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capital Markets &mdash; 0.6%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">E*Trade Financial Corp.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12.50%, 11/30/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,785</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,008,750</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.74%, 8/31/19 (a)(f)(g)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">249</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">221,610</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nuveen Investments, Inc., 9.13%, 10/15/17 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">431</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">427,767</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SteelRiver Transmission Co. LLC, 4.71%, 6/30/17 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,183</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,233,858</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,891,985</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chemicals &mdash; 2.7%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ashland, Inc., 4.75%, 8/15/22 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">675</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">693,563</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Celanese US Holdings LLC:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.88%, 6/15/21 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">805</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">899,587</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.63%, 11/15/22 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">360</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">371,700</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ciech Group Financing AB, 9.50%, 11/30/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">180</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">243,758</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hexion US Finance Corp., 6.63%, 4/15/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">92</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">91,770</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Huntsman International LLC:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.88%, 11/15/20 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,134</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,122,660</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.63%, 3/15/21 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">655</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">741,787</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">INEOS Finance Plc, 7.50%, 5/01/20 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">445</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">459,463</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">LyondellBasell Industries NV, 5.75%, 4/15/24 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,790</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,148,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nova Chemicals Corp., 8.38%, 11/01/16 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,500</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,022,500</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nufarm Australia Ltd., 6.38%, 10/15/19 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">320</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">331,200</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Orion Engineered Carbons Bondco GmbH, 9.63%, 6/15/18 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">898</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">972,085</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rockwood Specialties Group, Inc., 4.63%, 10/15/20 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,330</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,359,925</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tronox Finance LLC, 6.38%, 8/15/20 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,040</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,009,400</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,467,398</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 44%">&nbsp;</TD>
    <TD STYLE="width: 6%">&nbsp;</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 24%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD></TR>
</TABLE>

<!-- Field: Page; Sequence: 2 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->2<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B>(Percentages shown are based on Net Assets)</B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Commercial Banks &mdash; 4.3%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BNP Paribas SA, 2.38%, 9/14/17 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,225</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,283,756</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CIT Group, Inc. (e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%, 4/01/14 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,614</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,740,490</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.75%, 2/15/15 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,709</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,773,088</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.00%, 5/15/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">890</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">932,275</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.50%, 2/15/19 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,040</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,172,600</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HSBC Bank Plc, 3.10%, 5/24/16 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,560</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,722,857</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HSBC Holdings Plc, 6.25%, 3/19/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,547,364</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ING Bank NV, 2.00%, 9/25/15 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,245</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,265,129</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nordea Bank AB, 4.50%, 3/26/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,020</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,454,132</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Penske Truck Leasing Co. LP/PTL Finance Corp., 3.38%, 3/15/18 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,155</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,161,352</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Regions Financial Corp., 4.88%, 4/26/13 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">907</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">919,471</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27,972,514</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Commercial Services &amp; Supplies &mdash; 1.1%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ADS Waste Holdings, Inc., 8.25%, 10/01/20 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">292</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">305,140</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ARAMARK Holdings Corp., 8.63%, 5/01/16 (a)(h)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">890</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">912,259</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Brickman Group Holdings, Inc., 9.13%, 11/01/18 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">64,575</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Catalent Pharma Solutions, Inc., 7.88%, 10/15/18 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">375</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">378,750</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Clean Harbors, Inc.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%, 8/01/20 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">607</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">623,692</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.13%, 6/01/21 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">510</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">521,475</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Covanta Holding Corp., 6.38%, 10/01/22 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,130</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,225,380</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EC Finance Plc, 9.75%, 8/01/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">140,459</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HDTFS, Inc. (a):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.88%, 10/15/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">205</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">211,663</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.25%, 10/15/22 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">605</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">626,931</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mead Products LLC/ACCO Brands Corp., 6.75%, 4/30/20 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">103,750</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mobile Mini, Inc., 7.88%, 12/01/20 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">915</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">993,919</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Verisure Holding AB:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.75%, 9/01/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">526</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">728,556</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.75%, 12/01/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">221</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">281,673</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">West Corp., 8.63%, 10/01/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">165</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">170,363</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,288,585</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Communications Equipment &mdash; 1.6%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ADC Telecommunications, Inc., 3.50%, 7/15/15 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,670</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,673,335</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Avaya, Inc., 9.75%, 11/01/15 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">510</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">404,175</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Zayo Group LLC/Zayo Capital, Inc.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.13%, 1/01/20 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,800</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,966,500</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Communications Equipment (concluded) </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Zayo Group LLC/Zayo Capital, Inc. (concluded):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10.13%, 7/01/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,460</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,635,200</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,679,210</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Construction Materials &mdash; 0.8%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Buzzi Unicem SpA, 6.25%, 9/28/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">154</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">210,479</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HD Supply, Inc. (a):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.13%, 4/15/19 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,085</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,478,337</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11.50%, 7/15/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,385</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,513,113</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,201,929</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Consumer Finance &mdash; 1.7%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ally Financial, Inc., 3.13%, 1/15/16 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,500</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,518,362</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ford Motor Credit Co. LLC (e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.88%, 1/15/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,475</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,570,570</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 4/15/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">400</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">444,386</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hyundai Capital America, 3.75%, 4/06/16 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,285</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,365,630</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,898,948</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Containers &amp; Packaging &mdash; 0.5%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ardagh Packaging Finance Plc:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.38%, 10/15/17 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">299</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">325,536</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.38%, 10/15/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">277,797</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.38%, 10/15/17 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">587</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">815,336</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.38%, 10/15/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">138,899</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Berry Plastics Corp.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.27%, 9/15/14 (b)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">700</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">700,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.25%, 11/15/15 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">490</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">512,050</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.75%, 1/15/21 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">290</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">329,875</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Beverage Packaging Holdings Luxembourg II SA, 8.00%, 12/15/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">274</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">358,133</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,457,626</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Distributors &mdash; 0.1%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">VWR Funding, Inc., 7.25%, 9/15/17 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">874</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">902,405</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Diversified Consumer Services &mdash; 0.9%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">313 Group, Inc. (a):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.38%, 12/01/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">566</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">557,510</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.75%, 12/01/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">579</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">568,867</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Laureate Education, Inc., 9.25%, 9/01/19 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,460</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,489,200</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Unique Pub Finance Co. Plc:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series A4, 5.66%, 6/30/27 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,686</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,350,067</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series M, 7.40%, 3/28/24 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">742</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">945,093</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,910,737</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Diversified Financial Services &mdash; 5.7%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aircastle Ltd., 6.25%, 12/01/19 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">367</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">372,505</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 44%">&nbsp;</TD>
    <TD STYLE="width: 6%">&nbsp;</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 24%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD></TR>
</TABLE>

<!-- Field: Page; Sequence: 3 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->3<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B>(Percentages shown are based on Net Assets)</B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Diversified Financial Services (concluded) </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ally Financial, Inc. (e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.30%, 2/12/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,460</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,749,050</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.50%, 9/15/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,630</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,964,150</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.00%, 11/01/31 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,050</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,603,500</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Banque Paribas, 6.95%, 7/22/13 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,100</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,164,298</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citigroup, Inc., 5.95% (b)(i)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,370</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,393,975</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CNG Holdings, Inc., 9.38%, 5/15/20 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">700</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">712,250</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Co-Operative Group Ltd., 5.63%, 7/08/20 (j)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">497,083</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DPL, Inc., 7.25%, 10/15/21 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">255</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">269,025</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gala Group Finance Plc, 8.88%, 9/01/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">700</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,146,739</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Goldman Sachs Group, Inc. (e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.00%, 5/01/14 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,150</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,227,863</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.13%, 1/15/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,515</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,780,885</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.30%, 5/03/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,285</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,421,935</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Intesa Sanpaolo SpA, 2.38%, 12/21/12 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,335</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,335,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Leucadia National Corp., 8.13%, 9/15/15 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,870</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,113,100</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan Stanley, 5.30%, 3/01/13 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">825</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">834,112</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Reynolds Group Issuer, Inc.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.75%, 10/15/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">63</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">84,803</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.13%, 4/15/19 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,990</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,149,200</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.00%, 4/15/19 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">180</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185,400</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.88%, 8/15/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">795</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">842,700</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.75%, 10/15/20 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,800</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,840,500</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.88%, 2/15/21 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">820</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">883,550</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SLM Corp., Series A, 5.00%, 10/01/13 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">150</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">153,750</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Spirit Issuer Plc, 5.86%, 12/28/21 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,570</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,288,993</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37,014,366</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Diversified Telecommunication Services &mdash; 1.4%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ITC Deltacom, Inc., 10.50%, 4/01/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,215</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,300,050</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level 3 Communications, Inc., 8.88%, 6/01/19 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">735</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">771,750</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level 3 Financing, Inc.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.47%, 2/15/15 (b)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,725</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,720,687</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.13%, 7/01/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,083</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,298,810</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 6/01/20 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">495</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">503,663</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OTE Plc, 7.25%, 2/12/15 (j)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">151</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">181,654</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Telenet Finance V Luxembourg SCA:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.25%, 8/15/22 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">171</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">233,625</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.75%, 8/15/24 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">397</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">545,362</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Windstream Corp., 8.13%, 8/01/13 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">590</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">613,600</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,169,201</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Electric Utilities &mdash; 0.3%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mirant Mid Atlantic Pass-Through Trust, Series B, 9.13%, 6/30/17 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">677</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">739,239</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nisource Finance Corp. (e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.40%, 3/15/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">440</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">531,030</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%, 2/15/43 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">800</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">857,863</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,128,132</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Electrical Equipment &mdash; 0.2%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Belden, Inc., 5.50%, 9/01/22 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">510</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">516,375</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pentair Finance SA, 1.88%, 9/15/17 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">371</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">373,931</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Techem GmbH, 6.13%, 10/01/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">412,600</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,302,906</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Energy Equipment &amp; Services &mdash; 2.4%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Calfrac Holdings LP, 7.50%, 12/01/20 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,105</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,082,900</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Compagnie G&eacute;n&eacute;rale de G&eacute;ophysique, Veritas (e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.75%, 5/15/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">330</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">343,200</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.50%, 6/01/21 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,115</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,220,750</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FTS International Services LLC/FTS International Services, Inc., 8.13%, 11/15/18 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,690</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,740,700</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gulfmark Offshore, Inc., 6.38%, 3/15/22 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">188,700</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hornbeck Offshore Services, Inc., 5.88%, 4/01/20 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">375</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">384,375</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Key Energy Services, Inc., 6.75%, 3/01/21 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,040</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,042,600</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MEG Energy Corp., 6.38%, 1/30/23 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">445</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">461,688</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Oil States International, Inc., 6.50%, 6/01/19 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">725</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">770,312</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Peabody Energy Corp., 6.25%, 11/15/21 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,085</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,163,187</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Seadrill Ltd., 5.63%, 9/15/17 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,090</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,090,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Transocean, Inc. (e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.95%, 11/15/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,040</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,141,004</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.05%, 12/15/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">180</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200,382</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2.50%, 10/15/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">725</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">728,848</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.00%, 3/15/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">230</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">268,039</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,826,685</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Food &amp; Staples Retailing &mdash; 0.2%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bakkavor Finance 2 Plc, 8.25%, 2/15/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">321</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">502,719</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rite Aid Corp., 9.25%, 3/15/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,095</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,116,900</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,619,619</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Food Products &mdash; 0.4%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Constellation Brands, Inc., 6.00%, 5/01/22 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">660</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">754,875</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 44%">&nbsp;</TD>
    <TD STYLE="width: 6%">&nbsp;</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 24%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD></TR>
</TABLE>

<!-- Field: Page; Sequence: 4 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->4<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B>(Percentages shown are based on Net Assets)</B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Food Products (concluded) </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Post Holdings, Inc., 7.38%, 2/15/22 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">780</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">833,625</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Smithfield Foods, Inc., 6.63%, 8/15/22 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">783</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">829,980</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,418,480</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gas Utilities &mdash; 0.3%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Florida Gas Transmission Co. LLC, 4.00%, 7/15/15 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,000</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,129,022</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Health Care Equipment &amp; Supplies &mdash; 1.5%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Biomet, Inc. (a):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.50%, 8/01/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,720</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,797,400</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.50%, 10/01/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,445</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,430,550</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CareFusion Corp., 5.13%, 8/01/14 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,000</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,197,004</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DJO Finance LLC:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.75%, 3/15/18 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">413</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">450,170</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.75%, 4/15/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">540</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">503,550</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.88%, 4/15/18 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">500</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">501,250</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fresenius Medical Care US Finance II, Inc., 5.63%, 7/31/19 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">960</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,024,800</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kinetic Concepts, Inc./KCI USA, Inc., 12.50%, 11/01/19 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">210</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">197,400</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Teleflex, Inc., 6.88%, 6/01/19 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">675</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">727,312</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,829,436</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Health Care Providers &amp; Services &mdash; 3.2%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aviv Healthcare Properties LP, 7.75%, 2/15/19 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">995</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,044,750</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Care UK Health &amp; Social Care Plc, 9.75%, 8/01/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">223,380</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CHS/Community Health Systems, Inc.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.13%, 8/15/18 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">490</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">515,725</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.13%, 7/15/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">471</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">498,083</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Crown Newco 3 Plc, 7.00%, 2/15/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">541</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">910,102</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DaVita HealthCare Partners, Inc., 5.75%, 8/15/22 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">939</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">981,255</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HCA, Inc. (e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.50%, 2/15/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,895</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,127,137</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.88%, 3/15/22 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,390</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,599,125</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.75%, 5/01/23 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,410</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,424,100</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hologic, Inc., 6.25%, 8/01/20 (a)(e) </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,289</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,369,562</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IASIS Healthcare LLC, 8.38%, 5/15/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,351</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,276,695</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Omnicare, Inc., 7.75%, 6/01/20 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,135</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,255,594</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tenet Healthcare Corp.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10.00%, 5/01/18 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,152</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,453,280</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.88%, 7/01/19 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">395</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">442,400</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.75%, 2/01/20 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">475</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">481,531</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.75%, 6/01/20 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">738</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">743,535</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Health Care Providers &amp; Services (concluded) </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vanguard Health Holding Co. II LLC, 7.75%, 2/01/19 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">800</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">824,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WellPoint, Inc., 1.25%, 9/10/15 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,430</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,442,766</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">20,613,020</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Health Care Technology &mdash; 0.8%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IMS Health, Inc., 12.50%, 3/01/18 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,300</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,084,750</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hotels, Restaurants &amp; Leisure &mdash; 3.4%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Affinity Gaming LLC/Affinity Gaming Finance Corp., 9.00%, 5/15/18 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">198</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">205,920</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Caesars Entertainment Operating Co., Inc., 11.25%, 6/01/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">475</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">510,328</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Caesars Operating Escrow LLC (a)(e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.50%, 2/15/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,010</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">989,800</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.00%, 2/15/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,358</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,358,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Carlson Wagonlit BV, 6.88%, 6/15/19 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">370</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">386,650</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Choice Hotels International, Inc., 5.75%, 7/01/22 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">240</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">262,800</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cirsa Funding Luxembourg SA, 8.75%, 5/15/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">355</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">440,919</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Enterprise Inns Plc:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.50%, 12/06/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,232</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,287,059</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.88%, 2/15/21 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,070</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,860,440</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gategroup Finance Luxembourg SA, 6.75%, 3/01/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">290</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">394,132</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Spirit Issuer Plc:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.15%, 12/28/28 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,325</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,622,463</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.47%, 12/28/34 (b)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,500</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,623,549</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Station Casinos LLC, 3.66%, 6/18/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">440</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">372,900</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Travelport LLC, 6.36%, 12/01/16 (a)(b)(e)(h)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">977</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">723,126</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tropicana Entertainment LLC, 9.63%, 12/15/14 (d)(k)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">375</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wynn Las Vegas LLC, 5.38%, 3/15/22 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">888</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">941,280</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,979,366</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Household Durables &mdash; 1.2%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Algeco Scotsman Global Finance Plc, 9.00%, 10/15/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">630</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">843,928</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Beazer Homes USA, Inc., 6.63%, 4/15/18 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">910</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">969,150</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">K Hovnanian Enterprises, Inc., 7.25%, 10/15/20 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,130</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,284,425</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Libbey Glass, Inc., 6.88%, 5/15/20 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">250</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">267,500</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Spie BondCo 3 SCA, 11.00%, 8/15/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">348</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">482,010</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 44%">&nbsp;</TD>
    <TD STYLE="width: 6%">&nbsp;</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 24%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD></TR>
</TABLE>

<!-- Field: Page; Sequence: 5 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->5<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B>(Percentages shown are based on Net Assets)</B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Household Durables (concluded) </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Standard Pacific Corp., 8.38%, 1/15/21 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,400</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,748,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,595,013</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Household Products &mdash; 0.1%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ontex IV SA, 9.00%, 4/15/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">253</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">335,620</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Spectrum Brands Escrow Corp. (a):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.38%, 11/15/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">250</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">259,375</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.63%, 11/15/22 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">285</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">298,538</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">893,533</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Independent Power Producers &amp; Energy Traders &mdash; 2.4%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The AES Corp. (e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.75%, 10/15/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,730</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,941,925</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.75%, 4/15/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">710</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">844,900</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.38%, 7/01/21 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">204,888</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Calpine Corp. (a)(e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.25%, 10/15/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">365</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">390,550</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.50%, 2/15/21 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">478</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">528,190</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Energy Future Holdings Corp., 10.00%, 1/15/20 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,105</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,236,562</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Energy Future Intermediate Holding Co. LLC:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.88%, 8/15/17 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,015</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,040,375</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10.00%, 12/01/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,415</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,922,725</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GenOn REMA LLC (e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.24%, 7/02/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">560</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">611,925</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series C, 9.68%, 7/02/26 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">650</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">695,500</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Laredo Petroleum, Inc.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.50%, 2/15/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">630</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">705,600</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.38%, 5/01/22 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">515</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">557,487</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NRG Energy, Inc., 6.63%, 3/15/23 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">790</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">817,650</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">QEP Resources, Inc., 5.38%, 10/01/22 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">476</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">502,180</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,000,457</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Industrial Conglomerates &mdash; 1.4%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sequa Corp. (a):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11.75%, 12/01/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,950</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,053,250</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13.50%, 12/01/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,870</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,104,799</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,158,049</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Insurance &mdash; 1.8%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Allied World Assurance Co. Holdings, Ltd., 7.50%, 8/01/16 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,000</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,549,264</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American International Group, Inc., 3.00%, 3/20/15 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,120</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,242,073</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CNH Capital LLC, 3.88%, 11/01/15 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,320</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,354,650</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CNO Financial Group, Inc., 6.38%, 10/01/20 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">304</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">317,680</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Forethought Financial Group, Inc., 8.63%, 4/15/21 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">750</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">956,546</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Insurance (concluded) </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Genworth Financial, Inc., 7.63%, 9/24/21 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">990</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,069,413</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MPL 2 Acquisition Canco, Inc., 9.88%, 8/15/18 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">595</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">554,838</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Muenchener Rueckversicherungs AG, 6.00%, 5/26/41 (b)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">400</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">585,342</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TMF Group Holding B.V., 9.88%, 12/01/19 (c)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">130</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">171,396</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,801,202</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IT Services &mdash; 1.2%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ceridian Corp., 8.88%, 7/15/19 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,395</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,492,650</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Epicor Software Corp., 8.63%, 5/01/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,260</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,313,550</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">First Data Corp.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.38%, 6/15/19 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,175</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,207,313</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.75%, 11/01/20 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,235</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,244,262</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.25%, 1/15/21 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">69</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">68,828</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12.63%, 1/15/21 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,018</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,071,445</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SunGard Data Systems, Inc., 6.63%, 11/01/19 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,040</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,060,800</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WMG Acquisition Corp., 6.00%, 1/15/21 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">265</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">271,625</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,730,473</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Machinery &mdash; 1.0%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Terex Corp., 6.00%, 5/15/21 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,205</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,250,187</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UR Merger Sub Corp. (a)(e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.75%, 7/15/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,244</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,340,410</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.38%, 5/15/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">805</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">879,463</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.63%, 4/15/22 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,518</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,788,685</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,258,745</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Media &mdash; 4.9%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AMC Networks, Inc., 7.75%, 7/15/21 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">865</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">981,775</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cengage Learning Acquisitions, Inc., 11.50%, 4/15/20 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">830,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Checkout Holding Corp., 14.28%, 11/15/15 (a)(g)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,570</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,051,900</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Clear Channel Communications, Inc., 9.00%, 12/15/19 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,202</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,089,313</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Clear Channel Worldwide Holdings, Inc.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.50%, 11/15/22 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">965</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">960,175</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.50%, 11/15/22 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,608</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,621,040</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series B, 7.63%, 3/15/20 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,045</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,024,100</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DIRECTV Holdings LLC, 3.13%, 2/15/16 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,000</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,153,093</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DISH DBS Corp. (e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 10/01/13 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,267</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,320,847</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.13%, 2/01/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">224,250</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.88%, 7/15/22 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,025</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,169,281</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Intelsat Jackson Holdings SA, 7.25%, 10/15/20 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,660</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,767,900</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 44%">&nbsp;</TD>
    <TD STYLE="width: 6%">&nbsp;</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 24%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD></TR>
</TABLE>

<!-- Field: Page; Sequence: 6 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->6<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B>(Percentages shown are based on Net Assets)</B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Media (concluded) </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Intelsat Luxembourg SA:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11.25%, 2/04/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: left; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">360</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">381,600</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11.50%, 2/04/17 (h)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">280</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">297,150</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interactive Data Corp., 10.25%, 8/01/18 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,210</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,475,200</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lamar Media Corp., 5.88%, 2/01/22 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">675</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">718,031</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NAI Entertainment Holdings LLC, 8.25%, 12/15/17 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,301</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,437,605</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nara Cable Funding Ltd., 8.88%, 12/01/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">310</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">391,076</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ProQuest LLC, 9.00%, 10/15/18 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">600</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">552,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ProtoStar I Ltd., 18.00%, 10/15/13 (a)(d)(f)(k)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,454</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,727</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Truven Health Analytics, Inc., 10.63%, 6/01/20 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">540</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">577,800</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unitymedia Hessen GmbH &amp; Co. KG:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.13%, 12/01/17 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,090</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,437,650</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.50%, 3/15/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,440</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,577,596</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.50%, 1/15/23 (a)(c)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">720</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">720,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Virgin Media Secured Finance Plc, 6.50%, 1/15/18 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,085,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">31,846,109</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Metals &amp; Mining &mdash; 2.1%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ArcelorMittal, 9.50%, 2/15/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,240</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,381,179</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Eco-Bat Finance Plc, 7.75%, 2/15/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">495</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">659,867</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FMG Resources August 2006 Property Ltd. (a):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.38%, 2/01/16 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">625</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">629,687</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.88%, 4/01/22 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">155</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">151,125</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Global Brass and Copper, Inc., 9.50%, 6/01/19 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">695</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">747,125</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kaiser Aluminum Corp., 8.25%, 6/01/20 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">510</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">558,450</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New Gold, Inc. (a):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 4/15/20 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">175</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">185,937</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.25%, 11/15/22 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">685</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">700,412</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">New World Resources NV, 7.88%, 5/01/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">494</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">656,928</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Novelis, Inc., 8.75%, 12/15/20 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,875</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,340,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Perstorp Holding AB, 8.75%, 5/15/17 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">290</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">291,450</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Schmolz + Bickenbach Luxembourg SA, 9.88%, 5/15/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">365</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">387,119</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Steel Dynamics, Inc., 6.38%, 8/15/22 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">555</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">579,975</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Xstrata Canada Financial Corp., 2.85%, 11/10/14 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,450</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,512,691</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,781,945</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Multiline Retail &mdash; 0.2%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dollar General Corp., 4.13%, 7/15/17 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: left; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">342</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">359,100</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dufry Finance SCA, 5.50%, 10/15/20 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">706</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">725,415</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,084,515</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Oil, Gas &amp; Consumable Fuels &mdash; 6.7%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Access Midstream Partners LP, 6.13%, 7/15/22 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">510</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">540,600</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Berry Petroleum Co., 6.38%, 9/15/22 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">485</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">499,550</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BP Capital Markets Plc, 5.25%, 11/07/13 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,000</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,261,786</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CCS, Inc., 11.00%, 11/15/15 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,310</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,326,375</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chaparral Energy, Inc., 7.63%, 11/15/22 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">305</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">313,388</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chesapeake Energy Corp. (e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.88%, 11/15/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">405</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">427,275</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.13%, 2/15/21 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">620</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">627,750</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Concho Resources, Inc., 5.50%, 10/01/22 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">560</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">578,200</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CONSOL Energy, Inc., 8.25%, 4/01/20 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,890</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,017,575</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Denbury Resources, Inc., 8.25%, 2/15/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">71</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80,230</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EP Energy LLC/Everest Acquisition Finance, Inc., 6.88%, 5/01/19 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">630</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">681,975</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Halcon Resources Corp., 8.88%, 5/15/21 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">525</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">543,375</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Holly Energy Partners LP, 6.50%, 3/01/20 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">215</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">225,750</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kinder Morgan Energy Partners LP, 5.95%, 2/15/18 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,215</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,869,645</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kodiak Oil &amp; Gas Corp., 8.13%, 12/01/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">865</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">942,850</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Linn Energy LLC (e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.25%, 11/01/19 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,170</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,174,387</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.63%, 4/15/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">515</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">562,638</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.75%, 2/01/21 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">695</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">733,225</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MarkWest Energy Partners LP, 5.50%, 2/15/23 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">370</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">389,425</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Newfield Exploration Co., 5.63%, 7/01/24 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">575</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">615,250</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Oasis Petroleum, Inc.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.25%, 2/01/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">380</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">404,700</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.50%, 11/01/21 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">410</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">431,525</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Offshore Group Investments Ltd., 11.50%, 8/01/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,045</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,149,500</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OGX Petroleo e Gas Participacoes SA (a):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.50%, 6/01/18 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">875</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">761,250</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.38%, 4/01/22 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">405</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">330,075</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ONEOK Partners LP, 2.00%, 10/01/17 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">355</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">359,032</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 44%">&nbsp;</TD>
    <TD STYLE="width: 6%">&nbsp;</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 24%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD></TR>
</TABLE>

<!-- Field: Page; Sequence: 7 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->7<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B>(Percentages shown are based on Net Assets)</B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Oil, Gas &amp; Consumable Fuels (concluded) </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PDC Energy, Inc., 7.75%, 10/15/22 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: left; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">475</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">479,750</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PetroBakken Energy Ltd., 8.63%, 2/01/20 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,760</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,760,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Plains Exploration &amp; Production Co., 6.88%, 2/15/23 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,240</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,277,200</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Range Resources Corp. (e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.75%, 6/01/21 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,235</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,312,187</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.00%, 8/15/22 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">805</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">839,212</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ruby Pipeline LLC, 4.50%, 4/01/17 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,215</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,308,534</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sabine Pass Liquified Natural Gas LP (e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.50%, 11/30/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,110</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,438,800</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.50%, 11/01/20 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">745</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">745,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SandRidge Energy, Inc. (e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.50%, 3/15/21 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">750</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">781,875</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.13%, 10/15/22 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">290</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">310,300</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.50%, 2/15/23 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,685</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,752,400</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SESI LLC (e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.38%, 5/01/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">755</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">804,075</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.13%, 12/15/21 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">745</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">828,813</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SM Energy Co. (e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.50%, 11/15/21 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">605</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">638,275</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.50%, 1/01/23 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">285</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300,675</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tesoro Logistics LP/Tesoro Logistics Finance Corp., 5.88%, 10/01/20 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">176</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">183,040</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,607,467</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Paper &amp; Forest Products &mdash; 0.5%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ainsworth Lumber Co. Ltd., 7.50%, 12/15/17 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">810</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">834,300</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Longview Fibre Paper &amp; Packaging, Inc., 8.00%, 6/01/16 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">395</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">413,763</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NewPage Corp., 11.38%, 12/31/14 (d)(k)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,445</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,653,600</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sappi Papier Holding GmbH, 8.38%, 6/15/19 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">305</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">323,300</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,224,963</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pharmaceuticals &mdash; 0.2%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mylan, Inc., 6.00%, 11/15/18 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">80</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">88,200</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Valeant Pharmaceuticals International (a)(e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.50%, 7/15/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">590</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">622,450</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.38%, 10/15/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">915</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">972,188</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,682,838</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Real Estate Investment Trusts (REITs) &mdash; 0.4%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Felcor Lodging LP, 6.75%, 6/01/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,170</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,231,425</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Real Estate Investment Trusts (REITs) (concluded) </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ventas Realty LP/Ventas Capital Corp., 4.75%, 6/01/21 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: left; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,300</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,444,366</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,675,791</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Real Estate Management &amp; Development &mdash; 1.3%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mattamy Group Corp., 6.50%, 11/15/20 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">620</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">620,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Punch Taverns Finance Plc, Series A2R, 6.82%, 7/15/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,173</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,831,715</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Realogy Corp.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11.50%, 4/15/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">215</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">232,737</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12.00%, 4/15/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">225</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">243,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.88%, 2/15/19 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,765</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,870,900</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.63%, 1/15/20 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,015</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,131,725</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.00%, 1/15/20 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">435</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">482,850</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Shea Homes LP, 8.63%, 5/15/19 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,750</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,925,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,337,927</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Road &amp; Rail &mdash; 1.0%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asciano Finance Ltd., 3.13%, 9/23/15 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,400</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,460,554</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Hertz Corp.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.50%, 10/15/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">540</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">591,300</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.75%, 4/15/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">375</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">405,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.75%, 4/15/19 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">405</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">437,400</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.38%, 1/15/21 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,530</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,663,875</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,558,129</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Software &mdash; 0.5%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Infor US, Inc., 9.38%, 4/01/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,000</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,230,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nuance Communications, Inc., 5.38%, 8/15/20 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">875</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">901,250</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,131,250</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Specialty Retail &mdash; 0.7%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Claire's Stores, Inc., 9.00%, 3/15/19 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,034</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,099,917</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Michaels Stores, Inc., 7.75%, 11/01/18 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">317</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">343,549</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Party City Holdings, Inc., 8.88%, 8/01/20 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">599</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">634,940</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Penske Automotive Group, Inc., 5.75%, 10/01/22 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">705</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">717,337</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">QVC, Inc., 5.13%, 7/02/22 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">370</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">392,070</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sally Holdings LLC (e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6.88%, 11/15/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">920</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,023,500</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.75%, 6/01/22 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">425</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">460,063</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,671,376</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Textiles, Apparel &amp; Luxury Goods &mdash; 0.1%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Berkline/Benchcraft LLC, 4.50%, 11/03/13 (d)(k)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">200</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Levi Strauss &amp; Co., 6.88%, 5/01/22 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">380</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">398,525</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">398,525</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 44%">&nbsp;</TD>
    <TD STYLE="width: 6%; text-align: left">&nbsp;</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 24%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD></TR>
</TABLE>

<!-- Field: Page; Sequence: 8 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->8<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B>(Percentages shown are based on Net Assets)</B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tobacco &mdash; 0.5%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Reynolds American, Inc., 7.63%, 6/01/16 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: left; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,500</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,999,415</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Transportation Infrastructure &mdash; 0.8%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aguila 3 SA, 7.88%, 1/31/18 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">498</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">527,880</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Federal Express Corp. 2012 Pass Through Trust, 2.63%, 1/15/18 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,468</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,482,612</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Penske Truck Leasing Co. LP/PTL Finance Corp., 3.13%, 5/11/15 (a)(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,372</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,442,900</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,453,392</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wireless Telecommunication Services &mdash; 2.5%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cricket Communications, Inc., 7.75%, 5/15/16 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,250</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,379,375</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Crown Castle International Corp., 5.25%, 1/15/23 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">725</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">757,625</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Crown Castle Towers LLC, 4.52%, 1/15/35 (a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,000</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,170,886</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Digicel Group Ltd. (a):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.25%, 9/01/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,335</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,431,787</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8.25%, 9/30/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,215</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,290,938</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sprint Capital Corp., 6.88%, 11/15/28 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,410</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,452,300</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sprint Nextel Corp. (a)(e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9.00%, 11/15/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,070</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,783,775</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7.00%, 3/01/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,510</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,747,825</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sunrise Communications International SA, 7.00%, 12/31/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">150</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">209,714</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">16,224,225</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Corporate Bonds &ndash; 69.4%</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">452,874,289</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="10" STYLE="vertical-align: bottom; padding-bottom: 12pt"> <P STYLE="font: bold 12pt Arial, Helvetica, Sans-Serif; margin-top: 1pt; margin-bottom: 12pt; margin-right: 0; margin-left: 0; border-top: Black 2pt solid; border-bottom: #6297CC 6pt solid">&nbsp;</P></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating Rate Loan Interests (b)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aerospace &amp; Defense &mdash; 0.2%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TransDigm, Inc., Term Loan B, 4.00%, 2/14/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,155</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,158,987</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Airlines &mdash; 0.1%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delta Air Lines, Inc., Term Loan B, 5.50%, 4/20/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">688</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">690,760</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US Airways Group, Inc., Term Loan, 2.71%, 3/21/14 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">145</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">141,774</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">832,534</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Auto Components &mdash; 1.6%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Autoparts Holdings Ltd.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">First Lien Term Loan, 6.50%, 7/28/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">990</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">984,436</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Second Lien Term Loan, 10.50%, 1/29/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,500</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,399,995</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating Rate Loan Interests (b)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Auto Components (concluded) </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Federal-Mogul Corp.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 2.15%, 12/29/14 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: left; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,144</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,989,888</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 2.15%, 12/28/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">350</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">324,852</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FleetPride Corp., First Lien Term Loan, 11/20/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">915</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">913,289</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Goodyear Tire &amp; Rubber Co., Second Lien Term Loan, 4.75%, 4/30/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,985</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,999,925</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Schaeffler AG, Term Loan B, 1/27/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">675</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">860,314</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Transtar Holding Co., First Lien Term Loan, 10/02/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,285</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,291,425</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,764,124</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Beverages &mdash; 0.0%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Le-Nature's, Inc., Tranche B Term Loan, 3/01/11 (d)(f)(k)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">100</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Biotechnology &mdash; 0.2%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Grifols, Inc., Term Loan B, 4.50%, 6/01/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,073</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,084,215</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Building Products &mdash; 0.6%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Armstrong World Industries, Inc., Term Loan B, 4.00%, 3/09/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,261</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,270,081</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CPG International, Inc., Term Loan, 5.75%, 9/18/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,375</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,381,875</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">United Subcontractors, Inc., First Lien Term Loan, 4.37%, 6/30/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">160</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">150,519</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wilsonart International Holdings LLC, Term Loan B, 10/19/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">820</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">824,100</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,626,575</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capital Markets &mdash; 0.6%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American Capital Holdings, Inc., Term Loan, 5.50%, 8/22/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,462</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,480,275</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HarbourVest Partners LLC, Term Loan B, 11/21/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">970</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">971,212</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nuveen Investments, Inc.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended First Lien Term Loan, 5.81% - 5.86%, 5/13/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">198</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">197,576</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan, 5.81% - 5.86%, 5/12/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">302</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">301,610</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term Loan, 7.25%, 5/13/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">580</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">582,900</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Second Lien Term Loan, 2/28/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">675</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">685,125</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,218,698</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chemicals &mdash; 1.6%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ADS Waste Holdings, Inc., Term Loan B, 5.25%, 10/09/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,625</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,642,062</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 44%">&nbsp;</TD>
    <TD STYLE="width: 6%; text-align: left">&nbsp;</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 24%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD></TR>
</TABLE>

<!-- Field: Page; Sequence: 9 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->9<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B>(Percentages shown are based on Net Assets)</B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating Rate Loan Interests (b)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chemicals (concluded) </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">American Rock Salt Holdings LLC, Term Loan, 5.50%, 4/25/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,229</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,213,717</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chemtura Corp., Exit Term Loan B, 5.50%, 8/27/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,005</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,016,939</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Evergreen Acqco 1 LP, Term Loan, 5.00%, 7/09/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">783</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">783,625</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">General Chemical Corp., Term Loan, 5.00% - 5.75%, 10/06/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">111</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">110,588</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">INEOS US Finance LLC, 6 Year Term Loan, 6.50%, 5/04/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,072</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,095,307</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MacDermid, Inc., Tranche C Term Loan, 2.30%, 4/11/14 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">435</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">560,881</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Nexeo Solutions LLC, Term Loan B, 5.00%, 9/08/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,281</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,255,287</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Styron Sarl LLC, Term Loan B, 8.00%, 8/02/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">556</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">532,294</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tronox Pigments (Netherlands) BV:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delayed Draw Term Loan, 4.25%, 2/08/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">213</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">213,804</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 4.25%, 2/08/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">780</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">783,949</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,208,453</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Commercial Banks &mdash; 0.3%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Everest Acquisition LLC, Term Loan B1, 5.00%, 5/24/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,690</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,705,497</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Commercial Services &amp; Supplies &mdash; 1.7%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ACCO Brands Corp., Term Loan B, 4.25%, 4/30/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">721</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">725,937</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Altegrity, Inc.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 2.96%, 2/21/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">905</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">839,388</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tranche D Term Loan, 7.75%, 2/20/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,386</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,385,051</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AWAS Finance Luxembourg 2012 SA, Term Loan, 4.75%, 7/16/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,332</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,348,946</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AWAS Finance Luxembourg Sarl, Term Loan B, 5.25%, 6/10/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,017</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,029,673</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Delos Aircraft, Inc., Term Loan B2, 4.75%, 4/12/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,450</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,465,413</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">KAR Auction Services, Inc., Term Loan B, 5.00%, 5/19/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,480</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,489,011</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Progressive Waste Solutions Ltd., Term Loan B, 3.50%, 10/24/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">785</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">790,888</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Protection One, Inc., Term Loan, 5.75%, 3/21/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">826</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">830,665</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">West Corp., Term Loan B6, 5.75%, 6/29/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,292</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,311,139</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,216,111</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Communications Equipment &mdash; 1.8%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Avaya, Inc.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan B3, 4.81%, 10/26/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">206</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">180,213</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating Rate Loan Interests (b)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Communications Equipment (concluded) </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Avaya, Inc. (concluded):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B1, 3.06%, 10/24/14 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,386</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,305,484</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CommScope, Inc., Term Loan, 4.25%, 1/12/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,231</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,236,643</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Telesat Canada, Term Loan A, 4.39%, 3/28/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CAD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,500</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,382,494</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Zayo Group LLC, Term Loan B, 5.25%, 7/02/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,830</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,866,011</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,970,845</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Construction &amp; Engineering &mdash; 0.6%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Safway Services LLC, First Out Term Loan, 9.00%, 12/16/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,750</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,750,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Construction Materials &mdash; 0.4%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HD Supply, Inc., Senior Debt B, 7.25%, 10/12/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,334</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,394,698</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Consumer Finance &mdash; 0.6%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FMG America Finance, Inc., Term Loan, 5.25%, 10/18/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,265</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,273,162</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Springleaf Financial Funding Co.(FKA AGFS Funding Co.), Term Loan, 5.50%, 5/10/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">925</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">913,669</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,186,831</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Containers &amp; Packaging &mdash; 0.1%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sealed Air Corp., Term Loan, 10/03/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">525</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">528,938</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Diversified Consumer Services &mdash; 0.9%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Coinmach Service Corp., Term Loan B, 3.21%, 11/20/14 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,286</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,178,929</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Education Management LLC, Term Loan C3, 8.25%, 3/29/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,107</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">953,512</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Laureate Education, Inc., Extended Term Loan, 5.25%, 6/18/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">947</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">938,118</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ServiceMaster Co.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Non-Extended Delayed Draw, 2.71%, 7/24/14 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">102</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">101,166</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Non-Extended Term Loan, 2.71%, 7/24/14 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,009</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,005,099</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,176,824</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Diversified Financial Services &mdash; 1.5%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Residential Capital LLC, DIP Term Loan A1, 5.00%, 11/18/13 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,905</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,906,220</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Reynolds Group Holdings Inc., Dollar Term Loan, 4.75%, 9/20/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,055</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,069,241</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Telesat LLC, Term Loan B, 4.25%, 3/28/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,716</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,735,195</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WMG Acquisition Corp., Term Loan, 5.25%, 10/25/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: left">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">930</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">936,687</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,647,343</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 44%">&nbsp;</TD>
    <TD STYLE="width: 6%; text-align: left">&nbsp;</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 24%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD></TR>
</TABLE>

<!-- Field: Page; Sequence: 10 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->10<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B>(Percentages shown are based on Net Assets)</B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating Rate Loan Interests (b)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Diversified Telecommunication Services &mdash; 1.7%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Consolidated Communications, Inc., Term Loan B3, 11/29/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,255</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,246,544</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hawaiian Telcom Communications, Inc., Term Loan B, 7.00%, 2/28/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,755</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,784,625</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level 3 Financing, Inc.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2016 Term Loan B, 4.75%, 2/01/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">765</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">765,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2019 Term Loan B, 5.25%, 8/01/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">625</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">628,906</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 4.75%, 8/01/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,080</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,105,400</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US Telepacific Corp., Term Loan B, 5.75%, 2/23/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">495</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">488,890</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,019,365</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Electric Utilities &mdash; 0.0%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TPF Generation Holdings LLC, Synthetic Letter of Credit Deposit, First Lien, 2.36%, 12/13/13 (d)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">47,015</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Electronic Equipment, Instruments &amp; Components &mdash; 0.1%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sensata Technologies Finance Co. LLC, Term Loan, 4.00%, 5/11/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">569</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">569,872</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Energy Equipment &amp; Services &mdash; 1.4%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dynegy Midwest Generation LLC, Coal Co. Term Loan, 9.25%, 8/04/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,017</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,081,730</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dynegy Power LLC, Gas Co. Term Loan, 9.25%, 8/04/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,255</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,388,788</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MEG Energy Corp., Term Loan B, 4.00%, 3/16/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,980</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,988,415</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tervita Corp., Term Loan B, 3.21%, 11/14/14 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,825</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,790,909</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,249,842</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Food &amp; Staples Retailing &mdash; 0.1%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pilot Travel Centers LLC, Term Loan B2, 4.25%, 8/07/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">610</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">613,050</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US Foods, Inc., Extended Term Loan B, 5.75%, 3/31/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">224</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">220,717</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">833,767</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Food Products &mdash; 0.5%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Advance Pierre Foods, Inc., Second Lien Term Loan, 5.75%, 7/10/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">785</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">792,261</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Del Monte Foods Co., Term Loan, 4.50%, 3/08/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">918</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">918,595</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pinnacle Foods Finance LLC, Term Loan E, 4.75%, 10/17/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,127</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,131,745</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Solvest Ltd. (Dole):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-2, 5.00% - 6.00%, 7/06/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">97</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">96,729</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating Rate Loan Interests (b)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Food Products (concluded) </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Solvest Ltd. (Dole) (concluded):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan C-2, 5.00% - 6.00%, 7/06/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">173</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">173,095</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,112,425</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Health Care Equipment &amp; Supplies &mdash; 1.6%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bausch &amp; Lomb, Inc., Term Loan B, 5.25%, 5/17/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,050</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,075,486</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BSN Medical Acquisition Holding GmbH, Term Loan B, 5.00%, 7/27/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">700</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">701,400</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DJO Finance LLC, Term Loan B3, 6.25%, 9/15/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,159</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,166,858</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hologic, Inc., Term Loan B, 4.50%, 8/01/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,439</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,462,252</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hupah Finance, Inc., Term Loan B, 6.25% - 7.25%, 1/21/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">995</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,003,706</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Immucor, Inc., Term Loan B1, 5.75%, 8/17/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">644</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">650,554</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kinetic Concepts, Inc., Term Loan B1, 7.00%, 5/04/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">615</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">619,528</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">LHP Hospital Group, Inc., Term Loan, 9.00%, 7/03/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">858</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">864,284</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,544,068</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Health Care Providers &amp; Services &mdash; 2.2%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ardent Health Services, First Lien Term Loan, 9/15/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,283</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ardent Medical Services, Inc., Term Loan, 6.50%, 5/23/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">480</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">482,400</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CHG Buyer Corp., First Lien Term Loan, 11/22/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">850</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">847,875</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ConvaTec, Inc., Term Loan, 5.00%, 12/22/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,258</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,265,325</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DaVita, Inc., Term Loan B, 4.50%, 10/20/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,965</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,974,825</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Emergency Medical Services Corp., Term Loan, 5.25%, 5/25/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">279</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">281,813</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Genesis Healthcare Corp., Term Loan B, 9/25/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">855</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">822,938</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Harden Healthcare LLC:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Add on Term Loan A, 7.75%, 3/02/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,990</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,897,976</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan A, 8.50%, 3/02/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">496</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">486,208</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HCA, Inc., Extended Term Loan B3, 3.46%, 5/01/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">890</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">890,507</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">inVentiv Health, Inc.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Combined Term Loan, 6.50%, 8/04/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">102</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">95,835</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term Loan B-3, 6.75%, 5/15/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">430</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">419,563</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Medpace, Inc., Term Loan, 6.50% - 7.25%, 6/16/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,629</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,497,194</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 44%">&nbsp;</TD>
    <TD STYLE="width: 6%">&nbsp;</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 24%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD></TR>
</TABLE>

<!-- Field: Page; Sequence: 11 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->11<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B>(Percentages shown are based on Net Assets)</B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating Rate Loan Interests (b)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Health Care Providers &amp; Services (concluded) </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sheridan Holdings, Inc., First Lien Term Loan, 6.00%, 6/29/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">369</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">371,496</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US Renal Care, Inc., First Lien Term Loan, 6.25%, 7/02/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">858</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">866,429</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,201,667</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Health Care Technology &mdash; 0.1%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IMS Health, Inc., Term Loan B, 4.50%, 8/25/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">899</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">905,133</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hotels, Restaurants &amp; Leisure &mdash; 3.6%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Alpha D2 Ltd., Extended Term Loan B2, 6.00%, 4/29/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,677</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,696,018</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Caesars Entertainment Operating Co., Inc.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan B6, 5.46%, 1/26/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">579</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">518,461</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term Loan B4, 9.50%, 10/31/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">867</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">884,130</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B1, 3.21%, 1/28/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,310</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,237,812</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B2, 3.21%, 1/28/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,990</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,927,812</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dunkin' Brands, Inc., Term Loan B2, 4.00%, 11/23/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,344</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,354,553</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Harrah's Property Co., Mezzanine Term Loan, 2/13/13 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,246</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,725,109</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kronos, Inc., Second Lien Term Loan, 4/24/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,170</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,170,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">OSI Restaurant Partners, LLC, Term Loan B, 4.75%, 10/24/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">865</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">872,569</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sabre, Inc., Non-Extended Initial Term Loan, 2.21%, 9/30/14 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">159</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">158,422</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SeaWorld Parks &amp; Entertainment, Inc., Term Loan B, 4.00%, 8/17/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">827</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">832,662</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Six Flags Theme Parks, Inc., Term Loan B, 4.25%, 12/20/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">705</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">707,517</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Station Casinos, Inc.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2011 Term Loan B2, 4.21%, 6/17/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,355</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,255,902</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 5.50%, 9/07/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,175</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,180,437</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Travelport LLC:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Tranche A Term Loan, 6.31%, 12/01/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">450</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">134,988</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Tranche B Term Loan, 13.81%, 12/01/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,479</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">110,895</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Twin River Worldwide Holdings, Inc., Term Loan, 8.50%, 11/05/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,195</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,200,820</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wendy&rsquo;s International, Inc., Term Loan B, 4.75%, 5/15/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,235</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,245,547</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,213,654</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating Rate Loan Interests (b)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Household Durables &mdash; 0.0%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Berkline/Benchcraft LLC, Term Loan B, 14.00%, 11/03/13 (d)(k)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">172</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,379</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Household Products &mdash; 0.5%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Prestige Brands, Inc., Term Loan, 5.25% - 6.25%, 1/31/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">735</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">742,807</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Spectrum Brands, Inc.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 11/06/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,210</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,217,562</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 11/06/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CAD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,075</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,082,197</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,042,566</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Independent Power Producers &amp; Energy Traders &mdash; 0.4%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The AES Corp., Term Loan, 4.25%, 6/01/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,156</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,165,898</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Calpine Corp., Term Loan, 4.50%, 4/02/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,067</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,073,962</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GenOn Energy, Inc., Term Loan B, 6.50%, 12/01/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">437</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">438,531</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,678,391</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Industrial Conglomerates &mdash; 0.2%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sequa Corp., Term Loan, 3.46% - 3.61%, 12/03/14 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,344</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,338,926</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Insurance &mdash; 0.8%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asurion LLC, First Lien Term Loan, 5.50%, 5/24/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,512</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,524,403</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CNO Financial Group, Inc.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-1, 4.25%, 9/28/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,045</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,047,613</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-2, 5.00%, 9/20/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,415</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,422,075</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cunningham Lindsey Group, Inc., Term Loan B, 10/29/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">930</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">932,325</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,926,416</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Internet Software &amp; Services &mdash; 0.1%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Web.com Group, Inc., Term Loan B, 11.00%, 10/27/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">949</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">943,529</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IT Services &mdash; 2.1%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ceridian Corp., Extended Term Loan, 5.96%, 5/09/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,087</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,083,353</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">First Data Corp.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2018 Add-on Term Loan, 5.21%, 9/24/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,805</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,765,741</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended 2018 Term Loan B, 4.21%, 3/23/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,119</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,870,921</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Genpact International, Inc., Term Loan B, 4.25%, 8/30/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,070</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,078,025</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">InfoGroup, Inc., Term Loan, 5.75%, 5/25/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">910</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">803,158</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NeuStar, Inc., Term Loan B, 5.00%, 11/08/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,054</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,061,040</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 44%">&nbsp;</TD>
    <TD STYLE="width: 6%">&nbsp;</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 24%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD></TR>
</TABLE>

<!-- Field: Page; Sequence: 12 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->12<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B>(Percentages shown are based on Net Assets)</B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating Rate Loan Interests (b)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">IT Services (concluded) </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TransUnion LLC, Term Loan B, 5.50%, 2/12/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,724</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,760,320</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,422,558</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Leisure Equipment &amp; Products &mdash; 0.3%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Eastman Kodak Co., DIP Term Loan B, 8.50%, 7/19/13 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,454</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,451,849</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FGI Operating Company LLC, Term Loan, 5.50% - 6.50%, 4/19/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">484</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">487,642</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,939,491</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Machinery &mdash; 1.0%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Intelligrated, Inc., First Lien Term Loan, 6.75%, 7/30/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,100</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,109,625</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rexnord Corp., Term Loan B, 4.50%, 4/02/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,477</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,488,225</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Terex Corp., Term Loan B:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4.50%, 4/28/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">990</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">998,355</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.00%, 4/28/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">307</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">398,141</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wabash National Corp., Term Loan B, 6.00%, 5/02/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,751</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,778,687</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,773,033</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Media &mdash; 5.7%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Affinion Group, Inc., Term Loan B, 6.50%, 7/16/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">517</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">476,319</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">AMC Networks, Inc., Term Loan B, 4.00%, 12/31/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,708</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,710,915</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Capsugel Holdings US, Inc., Term Loan B, 4.75%, 8/01/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">646</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">650,996</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cengage Learning Acquisitions, Inc., Tranche 1 Incremental, 7.50%, 7/03/14 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,020</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,633,981</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Charter Communications Operating LLC:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan C, 3.46%, 9/06/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,342</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,351,532</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan D, 4.00%, 5/15/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">912</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">918,934</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Clear Channel Communications, Inc.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan A, 3.76%, 7/30/14 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,689</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,649,106</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 3.86%, 1/29/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">712</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">577,593</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 3.86%, 1/29/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">903</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">715,072</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cumulus Media, Inc., First Lien Term Loan, 5.75%, 9/17/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,488</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,493,125</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EMI Music Publishing Ltd., Term Loan B, 5.50%, 6/29/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">768</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">775,372</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Foxco Acquisition Sub LLC, Term Loan B, 5.50%, 7/14/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,760</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,779,800</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Getty Images, Inc., Term Loan B, 4.75%, 10/18/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,820</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,826,315</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating Rate Loan Interests (b)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Media (concluded) </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Houghton Mifflin Harcourt Publishing Co., DIP Term Loan B, 7.25%, 6/01/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,169</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,125,718</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Hubbard Broadcasting, Term Loan B, 5.25%, 4/28/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">766</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">766,784</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Intelsat Jackson Holdings SA, Tranche B Term Loan, 4.50%, 4/02/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,179</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,206,418</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interactive Data Corp., Term Loan B, 4.50%, 2/12/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,376</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,388,450</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Kabel Deutschland GmbH, Term Loan F, 4.25%, 2/01/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,195</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,213,371</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lavena Holding 4 GmbH:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 2.95%, 3/06/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">304</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">369,761</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 3.32%, 3/04/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">304</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">371,736</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lavena Holding 4 GmbH (Prosiebensat.1 Media AG), Second Lien Term Loan, 4.45%, 9/02/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">904</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,051,251</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sinclair Television Group, Inc., Term Loan B, 4.00%, 10/28/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,216</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,218,076</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Univision Communications, Inc., Extended Term Loan, 4.46%, 3/31/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,654</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,590,561</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UPC Broadband Holding BV, Term Loan U, 4.11%, 12/29/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">97</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">125,782</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UPC Financing Partnership, Term Loan T, 3.71%, 12/30/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">355</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">353,150</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WC Luxco Sarl, Term Loan B-3, 4.25%, 3/15/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">528</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">530,197</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Weather Channel, Term Loan B, 4.25%, 2/13/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">522</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">526,295</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WideOpenWest Finance LLC, First Lien Term Loan, 6.25%, 7/17/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">743</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">751,082</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">37,147,692</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Metals &amp; Mining &mdash; 1.5%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Constellium Holdco BV, Term Loan B, 9.25%, 5/25/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,302</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,301,737</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Metals USA, Inc., Term Loan, 11/15/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,155</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,143,450</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Novelis, Inc.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term Loan B2, 4.00%, 3/10/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,467</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,472,364</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 4.00%, 3/10/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,937</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,945,354</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Walter Energy, Inc., Term Loan B, 5.75%, 4/02/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">298</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">298,749</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Windsor Financing LLC, Term Loan B, 10/31/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,640</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,623,600</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,785,254</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Multiline Retail &mdash; 0.9%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">99 Cents Only Stores, Term Loan, 5.25%, 1/11/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">908</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">916,776</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 44%">&nbsp;</TD>
    <TD STYLE="width: 6%">&nbsp;</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 24%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD></TR>
</TABLE>

<!-- Field: Page; Sequence: 13 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->13<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B>(Percentages shown are based on Net Assets)</B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating Rate Loan Interests (b)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Multiline Retail (concluded) </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BJ's Wholesale Club, Inc.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">First Lien Term Loan, 5.75%, 9/26/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">595</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">601,610</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Second Lien Term Loan, 9.75%, 3/26/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">545</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">559,170</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HEMA Holding BV:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Second Lien Term Loan, 5.11%, 1/05/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,600</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,043,289</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 2.11%, 7/06/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">334</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">406,284</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan C, 2.86%, 7/05/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">334</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">408,453</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,935,582</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Oil, Gas &amp; Consumable Fuels &mdash; 1.9%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chesapeake Energy Corp., Unsecured Term Loan, 5.75%, 12/01/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,710</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,662,575</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gibson Energy ULC, Term Loan B, 4.75%, 6/15/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,233</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,245,658</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Obsidian Natural Gas Trust, Term Loan, 7.00%, 11/02/15 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,213</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,213,365</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Plains Exploration &amp; Production, 7-Year Term Loan B, 9/13/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,270</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,278,513</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Samson Investment Co., Second Lien Term Loan, 6.00%, 9/25/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">740</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">744,625</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vantage Drilling Co., Term Loan, 10/26/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,450</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,398,250</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,542,986</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Paper &amp; Forest Products &mdash; 0.3%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NewPage Corp., DIP Term Loan, 8.75%, 3/07/13 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,450</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,449,101</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Verso Paper Finance Holdings LLC, Term Loan, 6.56% - 7.31%, 2/01/13 (h)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">748</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">374,009</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,823,110</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pharmaceuticals &mdash; 1.3%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Aptalis Pharma, Inc., Term Loan B, 5.50%, 2/10/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,474</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,473,293</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par Pharmaceutical Cos., Inc., Term Loan B, 5.00%, 9/30/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,975</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,968,423</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pharmaceutical Product Development, Inc., Term Loan B, 6.25%, 12/05/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,723</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,748,011</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">RPI Finance Trust, Incremental Tranche 2, 4.00%, 11/09/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">462</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">464,609</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Valeant Pharmaceuticals International, Inc., Series C Tranche B, 9/27/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,120</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,123,360</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Warner Chilcott Corp.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Incremental Term Loan B-1, 4.25%, 3/15/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">291</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">292,869</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-1, 4.25%, 3/15/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">767</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">771,196</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating Rate Loan Interests (b)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pharmaceuticals (concluded) </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Warner Chilcott Corp. (concluded):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-2, 4.25%, 3/15/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">384</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">385,598</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,227,359</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Professional Services &mdash; 0.6%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Booz Allen Hamilton, Inc., Term Loan B, 4.50%, 7/31/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,390</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,400,717</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Emdeon, Inc., Term Loan B1, 5.00%, 11/02/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">929</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">939,807</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">ON Assignment, Inc., Term Loan B, 5.00%, 5/15/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">586</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">588,726</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Truven Health Analytics, Inc., Term Loan B, 5.75%, 6/06/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,187</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,186,728</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,115,978</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Real Estate Investment Trusts (REITs) &mdash; 0.5%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">iStar Financial, Inc., Term Loan, 5.75%, 9/28/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,414</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,415,279</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Real Estate Management &amp; Development &mdash; 0.8%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Realogy Corp.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Letter of Credit Loan, 4.46%, 10/10/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">114</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">113,739</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Term Loan, 4.46%, 10/10/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,773</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,764,186</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Stockbridge SBE Holdings LLC, Term Loan B, 13.00%, 5/02/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">425</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">419,687</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,297,612</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Road &amp; Rail &mdash; 0.1%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Road Infrastructure Investment LLC, Term Loan B, 6.25%, 3/30/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">642</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">640,171</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Semiconductors &amp; Semiconductor Equipment &mdash; 0.2%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Freescale Semiconductor, Inc., Extended Term Loan B, 4.46%, 12/01/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,137</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,102,161</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">NXP BV, Term Loan A-2, 5.50%, 3/03/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">400</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">406,150</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,508,311</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Software &mdash; 1.2%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GCA Services Group, Inc.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Second Lien Term Loan, 11/01/20 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">700</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">693,000</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B, 11/01/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">560</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">557,665</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Infor US, Inc., Term Loan B2, 5.25%, 4/05/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,110</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,129,227</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sophia LP, Term Loan B, 6.25%, 7/19/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">903</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">912,942</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">SS&amp;C Technologies, Inc.:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-1, 5.00%, 6/07/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,292</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,305,848</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B-2, 5.00%, 6/07/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">134</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">135,088</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 44%">&nbsp;</TD>
    <TD STYLE="width: 6%">&nbsp;</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 24%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD></TR>
</TABLE>

<!-- Field: Page; Sequence: 14 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->14<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B>(Percentages shown are based on Net Assets)</B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="10" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating Rate Loan Interests (b)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="11" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="10" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Software (concluded) </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WaveDivision Holdings LLC, Term Loan B, 5.50%, 8/09/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,770</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,792,125</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; text-align: right; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,525,895</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="11" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="10" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Specialty Retail &mdash; 1.5%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Academy Ltd., Term Loan, 4.75%, 8/03/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,787</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,790,966</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bass Pro Group LLC, Term Loan, 6.25%, 11/30/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">840</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">839,849</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Burlington Coat Factory Warehouse Corp., Term Loan B1, 5.50%, 2/23/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">216</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">217,422</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">David's Bridal, Inc., Term Loan B, 5.00%, 10/11/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">955</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">950,225</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Equinox Fitness Clubs, First Lien Term Loan, 11/16/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,140</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,137,150</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Harbor Freight Tools USA, Inc., Term Loan B, 5.50%, 11/14/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">529</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">531,757</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Party City Holdings Inc., Term Loan B, 5.75%, 7/26/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,285</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,296,244</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">PETCO Animal Supplies, Inc., Term Loan, 4.50%, 11/24/17 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,213</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,217,960</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Toys &lsquo;R&rsquo; Us Delaware, Inc.:</FONT></TD>
    <TD COLSPAN="8" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan, 6.00%, 9/01/16 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">434</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">427,859</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Term Loan B3, 5.25%, 5/25/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">617</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">601,866</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The Yankee Candle Co., Inc., Term Loan B, 5.25%, 4/02/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">662</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">667,604</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; text-align: right; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,678,902</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="11" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="10" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Textiles, Apparel &amp; Luxury Goods &mdash; 0.3%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Ascend Performance Materials LLC, Term Loan B, 6.75%, 4/10/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,269</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,243,253</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wolverine Worldwide, Inc., Term Loan B, 4.00%, 7/31/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">771</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">775,053</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; text-align: right; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,018,306</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="11" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="10" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Thrifts &amp; Mortgage Finance &mdash; 0.1%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Insight Global, Inc., First Lien Term Loan, 10/31/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">870</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">865,650</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="11" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="10" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wireless Telecommunication Services &mdash; 1.7%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cricket Communications, Inc., Term Loan, 4.75%, 10/10/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,160</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,165,081</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">MetroPCS Wireless, Inc., Term Loan B-3, 4.00%, 3/16/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,029</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,030,718</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Vodafone Americas Finance 2, Inc., Term Loan, 6.88%, 8/11/15 (h)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,583</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,755,004</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; text-align: right; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,950,803</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="11" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Floating Rate Loan Interests &ndash; 48.1%</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">313,747,760</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="11" STYLE="vertical-align: bottom; padding-bottom: 12pt"> <P STYLE="font: bold 12pt Arial, Helvetica, Sans-Serif; margin-top: 1pt; margin-bottom: 12pt; margin-right: 0; margin-left: 0; border-top: Black 2pt solid; border-bottom: #6297CC 6pt solid">&nbsp;</P></TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="10" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Municipal Bonds </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="11" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">State of California, GO:</FONT></TD>
    <TD COLSPAN="8" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.25%, 4/01/14 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,075</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,138,586</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.65%, 4/01/39 (b)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">455</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">462,480</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-indent: 0in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Various Purpose 3, Mandatory Put Bonds, 5.10%, 8/01/14 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,350</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,411,520</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">State of Illinois, GO, 3.32%, 1/01/13 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,075</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,086,317</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="11" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Municipal Bonds &ndash; 1.2%</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">8,098,903</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="11" STYLE="vertical-align: bottom; padding-bottom: 12pt"> <P STYLE="font: bold 12pt Arial, Helvetica, Sans-Serif; margin-top: 1pt; margin-bottom: 12pt; margin-right: 0; margin-left: 0; border-top: Black 2pt solid; border-bottom: #6297CC 6pt solid">&nbsp;</P></TD></TR>
<TR>
    <TD COLSPAN="10" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Non-Agency Mortgage-Backed Securities </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="11" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="10" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Collateralized Mortgage Obligations &mdash; 2.9%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Adjustable Rate Mortgage Trust, Series 2007-1, Class 3A21, 5.88%, 3/25/37 (b)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,348</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,318,276</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Countrywide Alternative Loan Trust, Series 2005-54CB, Class 3A4, 5.50%, 11/25/35 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,777</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,751,807</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Countrywide Home Loan Mortgage Pass-Through Trust:</FONT></TD>
    <TD COLSPAN="8" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2005-17, Class 1A6, 5.50%, 9/25/35 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,078</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,027,060</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2006-17, Class A2, 6.00%, 12/25/36 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,357</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,945,104</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-HY5, Class 3A1, 5.68%, 9/25/37 (b)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,764</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,466,630</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GSR Mortgage Loan Trust, Series 2005-AR5, Class 2A3, 2.96%, 10/25/35 (b)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,352</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,983,450</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan Stanley Reremic Trust, Series 2010-R4, Class 4A, 0.47%, 2/26/37 (a)(b)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,743</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,665,105</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; text-align: right; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,157,432</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="11" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="10" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Commercial Mortgage-Backed Securities &mdash; 8.3%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Banc of America Commercial Mortgage, Inc. (b):</FONT></TD>
    <TD COLSPAN="8" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-3, Class A2, 5.80%, 6/10/49 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">425</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">424,769</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-4, Class A4, 5.92%, 2/10/51 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,150</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,549,857</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citigroup/Deutsche Bank Commercial Mortgage Trust, Series 2007-CD4, Class A2B, 5.21%, 12/11/49 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">285</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">289,083</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Mortgage Capital Certificates:</FONT></TD>
    <TD COLSPAN="8" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2006-C5, Class AM, 5.34%, 12/15/39 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,850</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,969,083</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-C2, Class A2, 5.45%, 1/15/49 (b)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">87</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">87,788</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-C4, Class A3, 5.95%, 9/15/39 (b)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,815</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,931,454</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 44%">&nbsp;</TD>
    <TD STYLE="width: 6%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 24%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD></TR>
</TABLE>

<!-- Field: Page; Sequence: 15 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->15<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B>(Percentages shown are based on Net Assets)</B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="12" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Non-Agency Mortgage-Backed Securities </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="13" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="12" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Commercial Mortgage-Backed Securities (continued) </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Mortgage Capital Certificates (concluded):</FONT></TD>
    <TD COLSPAN="8" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-C5, Class AAB, 5.62%, 9/15/40 (b)</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; text-indent: 0in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,051</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,186,405</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Extended Stay America Trust, Series 2010-ESHA, Class C, 4.86%, 11/05/27 (a)</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,320</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,327,013</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">First Union Commercial Mortgage Securities, Inc., Series 1997-C2, Class G, 7.50%, 11/18/29 (b)</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,665</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,770,001</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Greenwich Capital Commercial Funding Corp.:</FONT></TD>
    <TD COLSPAN="8" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2006-GG7, Class AM, 6.06%, 7/10/38 (b)</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,610</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,792,308</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-GG9, Class A4, 5.44%, 3/10/39 </FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,110</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,433,556</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GS Mortgage Securities Corp. II, Series 2006-GG6, Class AM, 5.62%, 4/10/38 (b)</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,680</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,043,050</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan Chase Commercial Mortgage Securities Corp.:</FONT></TD>
    <TD COLSPAN="8" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2004-LN2, Class A2, 5.12%, 7/15/41 </FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,315</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,448,691</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-CB18, Class A4, 5.44%, 6/12/47 </FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,110</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,436,525</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-CB19, Class A4, 5.92%, 2/12/49 (b)</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,140</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,515,228</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">LB-UBS Commercial Mortgage Trust, Series 2007-C6, Class A4, 5.86%, 7/15/40 (b)</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,745</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,675,599</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan Stanley Capital I (b):</FONT></TD>
    <TD COLSPAN="8" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2007-IQ15, Class A2, 6.04%, 6/11/49 </FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,719</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,746,961</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2012-C4, Class XA, 2.88%, 3/15/45 (a)</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,521</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,301,012</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Talisman Finance PLC, 0.39%, 10/22/16 (b)</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,268</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,661,755</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wachovia Bank Commercial Mortgage Trust, Series 2007-C33 (b):</FONT></TD>
    <TD COLSPAN="8" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Class A2, 6.08%, 2/15/51 </FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">851</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">851,320</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Class A4, 6.12%, 2/15/51 </FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,030</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,402,509</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">WF-RBS Commercial Mortgage Trust:</FONT></TD>
    <TD COLSPAN="8" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2012-C8, Class B, 4.31%, 8/15/45 </FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,085</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,175,690</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2012-C8, Class C, 5.04%, 8/15/45 (b)</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,395</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,507,776</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2012-C9, Class XA, 2.45%, 11/15/45 (a)(b)</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,130</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,481,246</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="12" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Non-Agency Mortgage-Backed Securities </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="13" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="12" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Commercial Mortgage-Backed Securities (concluded) </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Windermere CMBS PLC, Series XI-X, Class A, 0.78%, 4/24/17 (b)</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,819</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,783,794</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="8" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-bottom: 1pt; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-bottom: 1pt; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="11" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">53,792,473</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="13" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Non-Agency Mortgage-Backed Securities &ndash; 11.2%</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">72,949,905</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="13" STYLE="vertical-align: bottom; padding-bottom: 12pt"> <P STYLE="font: bold 12pt Arial, Helvetica, Sans-Serif; margin-top: 1pt; margin-bottom: 12pt; margin-right: 0; margin-left: 0; border-top: Black 2pt solid; border-bottom: #6297CC 6pt solid">&nbsp;</P></TD></TR>
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; border-bottom: windowtext 1pt solid; padding-top: 6pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Other Interests (l)</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; border-bottom: windowtext 1pt solid; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; border-bottom: windowtext 1pt solid; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Beneficial Interest (000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: windowtext 1pt solid; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; border-bottom: windowtext 1pt solid; padding-top: 6pt; text-align: center; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="12" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Auto Components &mdash; 0.0%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Lear Corp. Escrow</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,000</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,625</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="13" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Diversified Financial Interests &mdash; 0.2%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">J.G. Wentworth LLC Preferred Equity Interests (d)</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,598,297</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="13" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="12" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Household Durables &mdash; 0.0%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Berkline Benchcraft Equity LLC</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="8" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-bottom: 1pt; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-bottom: 1pt; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="11" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,608,922</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="13" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Other Interests &ndash; 0.2%</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">1,608,922</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="13" STYLE="vertical-align: bottom; padding-bottom: 12pt"> <P STYLE="font: bold 12pt Arial, Helvetica, Sans-Serif; margin-top: 1pt; margin-bottom: 12pt; margin-right: 0; margin-left: 0; border-top: Black 2pt solid; border-bottom: #6297CC 6pt solid">&nbsp;</P></TD></TR>
<TR>
    <TD COLSPAN="12" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Preferred Securities </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="13" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Preferred Stocks &ndash; 0.1%</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Shares</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="13" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="12" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Auto Components &mdash; 0.1%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dana Holding Corp., 4.00% (a)(f)</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,000</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">725,625</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="13" STYLE="vertical-align: bottom; padding-bottom: 12pt"> <P STYLE="font: bold 12pt Arial, Helvetica, Sans-Serif; margin-top: 1pt; margin-bottom: 12pt; margin-right: 0; margin-left: 0; border-top: Black 2pt solid; border-bottom: #6297CC 6pt solid">&nbsp;</P></TD></TR>
<TR>
    <TD COLSPAN="12" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Trust Preferreds - 0.5%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="13" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="12" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Diversified Financial Services &mdash; 0.5%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GMAC Capital Trust I, Series 2, 8.13%, 2/15/40 (b)</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">116,120</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,013,133</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="13" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom; border-bottom: windowtext 1pt solid; padding-top: 2pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Preferred Securities &ndash; 0.6%</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; border-bottom: windowtext 1pt solid; padding-top: 2pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; border-bottom: windowtext 1pt solid; padding-top: 2pt; text-align: right; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">3,738,758</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: windowtext 1pt solid; padding-top: 2pt; text-align: right; font-weight: normal">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal">&nbsp;</TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 19px">&nbsp;</TD>
    <TD STYLE="width: 139px">&nbsp;</TD>
    <TD STYLE="width: 5px">&nbsp;</TD>
    <TD STYLE="width: 17px">&nbsp;</TD>
    <TD STYLE="width: 2px">&nbsp;</TD>
    <TD STYLE="width: 5px">&nbsp;</TD>
    <TD STYLE="width: 10px">&nbsp;</TD>
    <TD STYLE="width: 47px">&nbsp;</TD>
    <TD STYLE="width: 5px">&nbsp;</TD>
    <TD STYLE="width: 5px">&nbsp;</TD>
    <TD STYLE="width: 10px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 10px">&nbsp;</TD></TR>
</TABLE>

<!-- Field: Page; Sequence: 16 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->16<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B>(Percentages shown are based on Net Assets)</B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Par</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US Government Sponsored Agency Securities </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Collateralized Mortgage Obligations &mdash; 0.5%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Freddie Mac Mortgage-Backed Securities, Series 3986, Class M, 4.50%, 9/15/41 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,107</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,328,554</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interest Only Collateralized Mortgage Obligations &mdash; 1.8%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fannie Mae Mortgage-Backed Securities:</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2010-126, Class UI, 5.50%, 10/25/40 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,405</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,761,941</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series 2012-M9, Class X1, 4.25%, 12/25/17 (b)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,151</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,601,005</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Freddie Mac Mortgage-Backed Securities (b):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series K021, Class X1, 1.51%, 6/25/22 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,140</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,255,155</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series K707, Class XI, 1.70%, 12/25/18 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">43,278</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,478,839</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Series K710, Class XI, 1.92%, 5/25/19 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">13,424</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,300,660</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,397,600</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Mortgage-Backed Securities &mdash; 6.2%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fannie Mae Mortgage-Backed Securities (e):</FONT></TD>
    <TD COLSPAN="7" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.00%, 7/01/20 - 8/01/23 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,168</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,150,378</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3.50%, 8/01/26 </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11,505</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,386,456</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Freddie Mac Mortgage-Backed Securities, 4.50%, 4/01/25 (e)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,705</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15,997,421</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="5" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-weight: normal; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="8" STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,534,255</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total US Government Sponsored Agency Securities &ndash; 8.5%</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">55,260,409</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="10" STYLE="vertical-align: bottom; padding-bottom: 12pt"> <P STYLE="font: bold 12pt Arial, Helvetica, Sans-Serif; margin-top: 1pt; margin-bottom: 12pt; margin-right: 0; margin-left: 0; border-top: Black 2pt solid; border-bottom: #6297CC 6pt solid">&nbsp;</P></TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Shares</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Warrants (m)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Software &mdash; 0.0%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Bankruptcy Management Solutions, Inc. (Expires 9/28/17)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">435</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">HMH Holdings/EduMedia (Issued/Exercisable 3/09/10, 19 Shares for 1 Warrant, Expires 6/22/19, Strike Price $42.27)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,100</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="10" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="5" STYLE="vertical-align: bottom; border-bottom: windowtext 1pt solid; padding-top: 2pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Warrants &ndash; 0.0%</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; border-bottom: windowtext 1pt solid; padding-top: 2pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; border-bottom: windowtext 1pt solid; padding-top: 2pt; text-align: right; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">&mdash;</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 44%">&nbsp;</TD>
    <TD STYLE="width: 6%">&nbsp;</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 24%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Shares</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Long-Term Investments</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(Cost &ndash; $953,087,267) &ndash; 148.1% </FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal"> 966,565,770</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="12" STYLE="vertical-align: bottom; padding-bottom: 12pt"> <P STYLE="font: bold 12pt Arial, Helvetica, Sans-Serif; margin-top: 1pt; margin-bottom: 12pt; margin-right: 0; margin-left: 0; border-top: Black 2pt solid; border-bottom: #6297CC 6pt solid">&nbsp;</P></TD></TR>
<TR>
    <TD COLSPAN="7" STYLE="vertical-align: top; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Short-Term Securities </FONT></TD>
    <TD COLSPAN="5" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="12" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BlackRock Liquidity Funds, TempFund, Institutional Class, 0.15% (n)(o)</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,951,071</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,951,071</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="12" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Short-Term Securities</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(Cost &ndash; $4,951,071) &ndash; 0.8% </FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">4,951,071</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="12" STYLE="vertical-align: bottom; padding-bottom: 12pt"> <P STYLE="font: bold 12pt Arial, Helvetica, Sans-Serif; margin-top: 1pt; margin-bottom: 12pt; margin-right: 0; margin-left: 0; border-top: Black 2pt solid; border-bottom: #6297CC 6pt solid">&nbsp;</P></TD></TR>
<TR>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; text-align: right; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold"><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Contracts</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 6pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 6pt; text-align: center; font-weight: bold">&nbsp;</TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="11" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Options Purchased </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="12" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="11" STYLE="vertical-align: bottom; padding-top: 2pt; color: navy; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Over-the-Counter Call Options &mdash; 0.0%</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="12" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Marsico Parent Superholdco LLC, Strike Price USD 942.86, Expires 12/14/19, Broker Goldman Sachs Group, Inc. </FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">46</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="12" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="6" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Options Purchased</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(Cost &ndash; $44,978) &ndash; 0.0% </FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">1</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="12" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD COLSPAN="9" STYLE="vertical-align: bottom; padding-top: 3pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total Investments<FONT STYLE="font-weight: normal"> </FONT>(Cost - $958,083,316*) &ndash; 148.9%</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 3pt; text-align: right; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">971,516,842</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="7" STYLE="vertical-align: bottom; padding-top: 3pt; padding-left: 0.1in; text-indent: -0.1in; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Liabilities in Excess of Other Assets &ndash; (48.9)%</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 3pt; padding-left: 0.1in; text-indent: -0.1in; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 3pt; padding-left: 0.1in; text-align: right; text-indent: -0.1in; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">(319,202,471)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="7" STYLE="vertical-align: bottom; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; text-align: right; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; text-align: right; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD COLSPAN="7" STYLE="vertical-align: bottom; padding-top: 3pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Net Assets &ndash; 100.0%</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 3pt; text-align: right; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal"></FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 3pt; text-align: right; font-weight: normal">$</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 3pt; text-align: right; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">652,314,371</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD COLSPAN="7" STYLE="vertical-align: bottom; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; text-align: right; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; border-bottom: Black 2pt solid; text-align: right; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 2pt solid; text-align: right; font-size: 2pt">&nbsp;</TD> <TD STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 2pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 50%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 13%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 24%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="6" STYLE="font-size: 2pt; font-weight: bold; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&nbsp;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">*</FONT></TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">As of November 30, 2012, gross unrealized appreciation and gross unrealized depreciation based on cost for federal income tax purposes were as follows:</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Tax cost&#9;&#9;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">956,844,163</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: top; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 2pt solid; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; border-bottom: Black 2pt solid; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 2pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gross unrealized appreciation&#9;&#9;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,312,951</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Gross unrealized depreciation&#9;&#9;</FONT></TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(21,640,272)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: top; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#9;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Net unrealized appreciation&#9;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,672,679</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: top; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 2pt solid; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="2" STYLE="vertical-align: bottom; text-align: right; border-bottom: Black 2pt solid; font-size: 2pt">&nbsp;</TD> <TD STYLE="vertical-align: bottom; border-bottom: Black 2pt solid; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 60px">&nbsp;</TD>
    <TD STYLE="width: 2px">&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; width: 4%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(a)</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 96%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">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.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(b)</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Variable rate security. Rate shown is as of report date.</FONT></TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>


<!-- Field: Page; Sequence: 17 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->17<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B></B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; width: 4%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(c)</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 96%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">When-issued security. Unsettled when-issued transactions were as follows:</FONT></TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty</FONT></TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized Appreciation</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</FONT></TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">970,200</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="4" STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goldman Sachs Group, Inc.</FONT></TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">171,396</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="4" STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,325</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan Chase &amp; Co.</FONT></TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,500,000</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="4" STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Wells Fargo &amp; Co.</FONT></TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">773,456</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="4" STYLE="padding-left: 0.1in; text-align: right; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12,456</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; font-size: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-size: 2pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-size: 2pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-size: 2pt; text-align: center">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; font-size: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-size: 2pt; text-align: center">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-size: 2pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-size: 2pt; text-align: center">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-size: 2pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-size: 2pt; text-align: center">&nbsp;</TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 4%">&nbsp;</TD>
    <TD STYLE="width: 31px">&nbsp;</TD>
    <TD STYLE="width: 123px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 2px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 16px">&nbsp;</TD>
    <TD STYLE="width: 6px">&nbsp;</TD>
    <TD STYLE="width: 102px">&nbsp;</TD>
    <TD STYLE="width: 9px">&nbsp;</TD>
    <TD STYLE="width: 12px">&nbsp;</TD>
    <TD STYLE="width: 9px">&nbsp;</TD>
    <TD STYLE="width: 99px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; width: 4%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(d)</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 96%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Non-income producing security.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(e)</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">All or a portion of security has been pledged as collateral in connection with open reverse repurchase agreements.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(f)</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Convertible security.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(g)</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Represents a zero-coupon bond. Rate shown reflects the current yield as of report date.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(h)</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Represents a payment-in-kind security which may pay interest/dividends in additional par/shares.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(i)</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Security is perpetual in nature and has no stated maturity date.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(j)</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Represents a step-up bond that pays an initial coupon rate for the first period and then a higher coupon rate for the following periods. Rate shown is as of report date.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(k)</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Issuer filed for bankruptcy and/or is in default of principal and/or interest payments.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(l)</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Other interests represent beneficial interests in liquidation trusts and other reorganization or private entities.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(m)</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">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 of the warrants, if any.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(n)</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Represents the current yield as of report date.</FONT></TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; width: 4%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(o)</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 96%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Investments in issuers considered to be an affiliate of the Trust during the period ended November 30, 2012, for purposes of Section 2(a)(3) of the Investment Company Act of 1940, as amended, were as follows:</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="font-size: 5pt; font-weight: bold">&nbsp;</TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Affiliate</FONT></TD>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="5" STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Shares</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Held at</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">August 31, 2012</FONT></TD>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Net</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Activity</FONT></TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Shares</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Held at</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">November 30, 2012</FONT></TD>
    <TD STYLE="font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="font-weight: bold; text-align: center; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Income</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BlackRock Liquidity Funds, TempFund, Institutional Class</FONT></TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="5" STYLE="padding-left: 0.1in; text-align: center; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,323,267</FONT></TD>
    <TD STYLE="padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-left: 0.1in; text-align: center; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,627,804</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="padding-left: 0.1in; text-align: center; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,951,071</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-left: 0.1in; text-align: center; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,321</FONT></TD></TR>
<TR STYLE="font-size: 1pt">
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-size: 1pt">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; font-size: 1pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-size: 1pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-size: 1pt; text-align: center">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-size: 1pt">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; font-size: 1pt; text-align: center">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-size: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; font-size: 1pt; text-align: center">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; font-size: 1pt">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; font-size: 1pt; text-align: center">&nbsp;</TD>
    <TD STYLE="font: 1pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom; font-size: 1pt">
    <TD COLSPAN="21" STYLE="font-size: 1pt; position: relative; top: -3pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#9;&#9;</FONT></TD></TR>
<TR STYLE="font-size: 1pt">
    <TD STYLE="font-size: 1pt">&nbsp;</TD>
    <TD STYLE="width: 2px; font-size: 1pt">&nbsp;</TD>
    <TD STYLE="width: 128px; font-size: 1pt">&nbsp;</TD>
    <TD STYLE="font-size: 1pt">&nbsp;</TD>
    <TD STYLE="width: 13px; font-size: 1pt">&nbsp;</TD>
    <TD STYLE="font-size: 1pt">&nbsp;</TD>
    <TD STYLE="font-size: 1pt">&nbsp;</TD>
    <TD STYLE="font-size: 1pt">&nbsp;</TD>
    <TD STYLE="width: 17px; font-size: 1pt">&nbsp;</TD>
    <TD STYLE="font-size: 1pt">&nbsp;</TD>
    <TD STYLE="width: 81px; font-size: 1pt">&nbsp;</TD>
    <TD STYLE="width: 17px; font-size: 1pt">&nbsp;</TD>
    <TD STYLE="width: 1px; font-size: 1pt">&nbsp;</TD>
    <TD STYLE="width: 2px; font-size: 1pt">&nbsp;</TD>
    <TD STYLE="width: 98px; font-size: 1pt">&nbsp;</TD>
    <TD STYLE="font-size: 1pt">&nbsp;</TD>
    <TD STYLE="width: 27px; font-size: 1pt">&nbsp;</TD>
    <TD STYLE="font-size: 1pt">&nbsp;</TD>
    <TD STYLE="width: 20px; font-size: 1pt">&nbsp;</TD>
    <TD STYLE="width: 52px; font-size: 1pt">&nbsp;</TD>
    <TD STYLE="font-size: 1pt">&nbsp;</TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; width: 4%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 96%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fund pays the fixed rate and receives the floating rate.</FONT></TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2">
        <P STYLE="font: bold 8pt Arial, Helvetica, Sans-Serif; margin: 12pt 0 0; background-color: #BFD5EB; border-top: Black 0.5pt solid; border-bottom: Black 0.5pt solid">Portfolio
        Abbreviations</P></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="padding-bottom: 6pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">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: </FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top; width: 16%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CAD</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 84%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Canadian Dollar</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CNH</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chinese Renminbi (offshore)</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">DIP</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Debtor-In-Possession</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EBIDTA</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Earnings Before Interest, Taxes, Depreciation and Amortization</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">FKA</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Formerly Known As</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">British Pound</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GO</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">General Obligation Bonds</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">LIBOR</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">London Interbank Offered Rate</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">TBA</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">To Be Announced</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US Dollar</FONT></TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; width: 4%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 96%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">For Trust compliance purposes, the Trust'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.</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2">&nbsp;</TD></TR>
</TABLE>
<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 4%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&bull;</FONT></TD>
    <TD STYLE="width: 96%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Reverse repurchase agreements outstanding as of November 30, 2012 were as follows:</FONT></TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="16" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interest</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rate</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Trade</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Date</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Maturity</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Date<SUP>1</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Face Value</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Face Value</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Including</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Accrued</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interest</FONT></TD>
    <TD COLSPAN="2" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="16" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3/30/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,368,400</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,374,010</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.40%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/03/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,117,520</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,133,969</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/03/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,308,826</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,322,171</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/04/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">730,235</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">733,168</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/09/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,569,655</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,577,845</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities, LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/12/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,541,363</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,549,385</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities, LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.25%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/17/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,031,063</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,032,695</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.40%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/18/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,260,600</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,281,435</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/23/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,081,088</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,085,088</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/30/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">947,468</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">950,864</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank Securities, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.50%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/30/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,416,620</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,420,850</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities, LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.55%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4/30/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,556,650</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,561,763</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/02/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,160,413</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,168,721</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 4%">&nbsp;</TD>
    <TD STYLE="width: 16%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 11%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 14%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 14%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 16%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>

<!-- Field: Page; Sequence: 18 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->18<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B></B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: bottom; width: 4%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 95%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Reverse repurchase agreements outstanding as of November 30, 2012 were as follows (continued):</FONT></TD>
    <TD STYLE="width: 1%; font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="font-size: 2pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#9;</FONT></TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interest</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rate</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Trade</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Date</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Maturity</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Date<SUP>1</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Face Value</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Face Value</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Including</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Accrued</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interest</FONT></TD>
    <TD COLSPAN="2" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="16" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/03/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">673,035</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">675,413</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.00%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/03/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">340,706</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">340,706</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities, LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.34%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/03/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,198,769</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,205,173</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/07/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">425,914</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">427,390</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.40%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/07/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,403,144</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,408,698</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securities (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/07/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,097,381</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,103,645</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities, LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.40%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/07/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,175,513</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,178,229</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities, LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.00%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/07/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">503,750</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">503,750</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/08/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">861,358</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">864,330</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securities (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/08/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,560,000</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,565,152</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securities (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.38%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/08/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,277,250</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,280,041</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securities (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/08/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,011,250</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,015,030</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securities (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/10/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,154,554</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,158,827</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities, LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.00%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/10/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">459,375</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">459,375</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities, LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.55%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/10/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,979,465</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,988,751</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securities (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/11/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,119,100</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,125,286</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securities (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/14/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,034,800</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,036,822</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities, LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/14/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">789,074</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">791,938</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.55%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/18/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,768,145</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,773,466</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securities (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/18/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">243,800</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">244,267</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securities (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.00%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/18/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">182,025</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">182,028</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/23/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">636,862</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">638,900</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securities (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/23/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">386,750</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">387,988</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/05/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,155,100</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,160,591</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.55%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/05/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,103,926</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,106,945</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/05/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">557,356</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">559,019</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securities (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/05/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">862,174</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">864,961</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities, LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.54%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/05/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">726,512</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">728,463</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities, LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.45%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/05/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">748,125</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">749,799</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities, LLC.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/05/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">894,400</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">897,291</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities, LLC.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.55%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/05/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,565,000</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,574,749</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities, LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/07/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,115,100</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,118,663</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities, LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/13/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">310,912</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">311,872</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/26/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,347,675</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,351,224</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/28/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,540,425</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,544,430</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/28/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,109,750</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,111,433</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/29/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,567,681</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,571,732</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/05/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,627,580</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,631,624</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/10/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">505,224</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">506,437</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities, LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/16/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">334,400</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">335,233</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/23/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,764,037</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,766,284</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 4%">&nbsp;</TD>
    <TD STYLE="width: 16%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 11%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 14%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 14%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 16%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>

<!-- Field: Page; Sequence: 19 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->19<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B></B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 4%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&bull;</FONT></TD>
    <TD STYLE="width: 96%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Reverse repurchase agreements outstanding as of November 30, 2012 were as follows (continued):</FONT></TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="16" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interest</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rate</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Trade</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Date</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Maturity</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Date<SUP>1</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Face Value</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Face Value</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Including</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Accrued</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interest</FONT></TD>
    <TD COLSPAN="2" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="16" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.38%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/25/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,172,500</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,180,840</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7/31/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,242,455</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,245,214</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/01/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">387,150</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">388,003</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/02/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,011,338</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,018,409</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/03/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,944,835</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,950,725</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/03/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">592,806</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">594,090</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/03/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">972,063</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">974,169</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/03/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,915,325</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,921,156</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/03/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,084,325</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,086,674</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.25%)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/03/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">891,325</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">890,582</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank Securities, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/06/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">850,850</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">852,647</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/08/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,398,363</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,410,627</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/08/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">363,757</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">364,164</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank Securities, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.00%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/16/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,105,325</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,105,325</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/22/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,132,407</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,134,314</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/24/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">735,687</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">737,003</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.25%)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/29/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">931,838</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">931,469</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/29/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">315,000</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">315,535</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/30/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">341,325</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">341,898</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank Securities, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.70%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8/30/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,164,387</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,171,918</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank Securities, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/07/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,257,225</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,259,154</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/10/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">419,012</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">419,578</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/12/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">435,395</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">435,975</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/13/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">776,950</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">778,058</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/14/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,091,969</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,094,313</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/14/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,339,688</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,341,393</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank Securities, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/17/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,633,025</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,635,236</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/19/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,335,844</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,342,336</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/19/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">921,552</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">922,643</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/19/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">821,406</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">822,459</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank Securities, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/19/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,418,488</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,421,675</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/26/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">698,827</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">699,660</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.34%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/28/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,074,638</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,076,496</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 4%">&nbsp;</TD>
    <TD STYLE="width: 16%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 11%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 14%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 14%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 16%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>

<!-- Field: Page; Sequence: 20 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->20<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B></B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 4%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&bull;</FONT></TD>
    <TD STYLE="width: 96%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Reverse repurchase agreements outstanding as of November 30, 2012 were as follows (continued):</FONT></TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="16" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interest</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rate</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Trade</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Date</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Maturity</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Date<SUP>1</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Face Value</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Face Value</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Including</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Accrued</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interest</FONT></TD>
    <TD COLSPAN="2" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="16" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/04/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,701,069</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,704,284</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/04/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,637,685</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,639,370</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/10/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,128,000</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,129,039</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank Securities, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/15/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,863,000</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,864,459</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/15/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">513,300</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">513,726</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.50%)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/16/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">401,625</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">401,374</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">516,416</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">516,642</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BNP Paribas Securities Corp.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.37%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/17/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">803,500</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">803,863</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/22/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">997,688</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">998,353</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/26/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,608,900</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,609,946</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.55%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/26/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,542,373</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,543,221</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/26/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,147,006</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,147,752</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank Securities, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.55%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/29/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,827,238</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">24,839,753</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank Securities, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/26/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,708,065</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,709,825</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank Securities, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.70%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/26/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,807,950</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,809,216</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank Securities, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.50%)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/26/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,623,800</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,622,988</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/26/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,416,482</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,418,703</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/26/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,222,700</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,224,034</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.10%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/26/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,922,460</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,922,652</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.50%)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/26/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">885,587</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">885,145</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.70%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10/30/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,517,176</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,519,295</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/01/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,156,238</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,158,489</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/01/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,712,386</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,713,313</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.50%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/06/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">244,531</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">244,616</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citigroup Global Markets, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.00%)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/06/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,033,720</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,033,031</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/07/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">921,444</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">921,813</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/09/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">336,682</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">336,755</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank Securities, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.57%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/09/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,320,862</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,321,323</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank Securities, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/13/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,792,813</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,793,651</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan Stanley &amp; Co. LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.34%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/13/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/12/12</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,415,033</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">39,425,457</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/13/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,978,700</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,979,261</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank Securities, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.55%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/14/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,812,000</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,812,990</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank Securities, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.50%)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/14/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">842,490</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">842,303</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/15/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,130,115</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,130,280</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank Securities, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.57%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/15/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">559,550</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">559,692</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 4%">&nbsp;</TD>
    <TD STYLE="width: 16%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 11%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 14%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 14%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 16%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>

<!-- Field: Page; Sequence: 21 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->21<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B></B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 4%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&bull;</FONT></TD>
    <TD STYLE="width: 96%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Reverse repurchase agreements outstanding as of November 30, 2012 were as follows (concluded):</FONT></TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interest</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rate</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Trade</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Date</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Maturity</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Date<SUP>1</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Face Value</FONT></TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Face Value</FONT><BR> <FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Including</FONT><BR> <FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Accrued</FONT><BR> <FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interest</FONT></TD>
    <TD COLSPAN="2" STYLE="font: 12pt Times New Roman, Times, Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/16/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">962,491</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"></FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">$</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">962,732</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank Securities, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.57%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/16/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">919,500</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">919,719</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.75%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/19/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,040,125</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,040,635</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/19/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,713,226</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,713,814</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.38%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/19/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,861,250</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,861,612</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank Securities, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.57%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/19/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,789,125</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,790,035</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/19/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">204,500</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">204,541</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.35%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/19/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,107,875</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,108,100</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Suisse Securties (USA) LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.38%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/19/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,233,600</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,233,743</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank Securities, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.55%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/19/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,262,688</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,263,068</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Barclays Capital, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.60%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/20/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">371,772</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">371,840</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS Securities LLC</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/20/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">527,590</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">527,695</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank Securities, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/26/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,012,050</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,012,141</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank Securities, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(0.63%)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/28/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">693,481</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">693,445</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citigroup Global Markets, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1.50%)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/28/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">635,050</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">634,997</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank Securities, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">0.65%</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">11/30/12</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Open</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,219,050</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,219,072</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="18" STYLE="font-size: 2pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#9;</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="7" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">Total</FONT></TD>
    <TD STYLE="vertical-align: bottom; border-bottom: windowtext 1pt solid; padding-top: 2pt; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">$</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; border-bottom: windowtext 1pt solid; padding-top: 2pt; text-align: right; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">296,586,335</FONT></TD>
    <TD STYLE="border-bottom: windowtext 1pt solid; vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal">&nbsp;</TD>
    <TD STYLE="border-bottom: windowtext 1pt solid; vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal">&nbsp;</TD>
    <TD STYLE="border-bottom: windowtext 1pt solid; vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal">&nbsp;$</TD>
    <TD STYLE="border-bottom: windowtext 1pt solid; vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal"></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; border-bottom: windowtext 1pt solid; padding-top: 2pt; text-align: right; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">296,955,460</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="18" STYLE="font-size: 2pt; font-weight: bold">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 4%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 11%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 14%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 14%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 15%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 16%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 4%; text-align: right">
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 3pt 0 0; text-align: left"><SUP>1</SUP></P>
        </TD>
    <TD STYLE="width: 96%">
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">Certain agreements have no stated maturity and can be terminated by
        either party at anytime.</P>

</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&bull;</FONT></TD>
    <TD STYLE="padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Financial futures contracts purchased as of November 30, 2012 were as follows:</FONT></TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="20" STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font-weight: bold; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Contracts </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Issue</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Exchange</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Expiration</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized Appreciation</FONT></TD>
    <TD COLSPAN="2" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="20" STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font-weight: bold; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">73</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5-Year US Treasury Note</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chicago Board of Trade</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">March 2013</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9,104,469</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27,766</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90-Day Euro-Dollar</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chicago Mercantile</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">December 2013</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,494,450</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,883</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90-Day Euro-Dollar</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chicago Mercantile</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">March 2013</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,993,600</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,878</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90-Day Euro-Dollar</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chicago Mercantile</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">September 2013</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,494,750</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">30,509</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90-Day Euro-Dollar</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chicago Mercantile</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">March 2014</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,494,150</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">36,883</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">90-Day Euro-Dollar</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chicago Mercantile</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">June 2013</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,494,975</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">27,059</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="20" STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font-weight: bold; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="13" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">$</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal"> 186,978</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="20" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 4%">&nbsp;</TD>
    <TD STYLE="width: 7%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 23%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 19%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 9%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 10%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 4%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&bull;</FONT></TD>
    <TD STYLE="width: 96%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Financial futures contracts sold as of November 30, 2012 were as follows:</FONT></TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="20" STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font-weight: bold; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Contracts </FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Issue</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Exchange</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Expiration</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Value</FONT></TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized Depreciation</FONT></TD>
    <TD COLSPAN="2" STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="20" STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font-weight: bold; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10-Year US Treasury Note</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chicago Board of Trade</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">March 2013</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,271,891</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,256)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2-Year US Treasury Note</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Chicago Board of Trade</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">March 2013</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,763,625</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(388)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">15</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Euro-Bund</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Eurex</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">December 2012</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,141,850</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(31,232)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="20" STYLE="vertical-align: bottom; border-bottom: Black 1pt solid; font-weight: bold; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="13" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">$</FONT></TD>
    <TD STYLE="border-bottom: Black 1pt solid; vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal"> (33,876)</FONT></TD>
    <TD COLSPAN="2" STYLE="font: 12pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="20" STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 4%">&nbsp;</TD>
    <TD STYLE="width: 7%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 23%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 19%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 9%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 10%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>

<!-- Field: Page; Sequence: 22 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->22<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B></B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; width: 4%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 96%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Foreign currency exchange contracts as of November 30, 2012 were as follows:</FONT></TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Currency</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Purchased</FONT></TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Currency</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Sold</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Settlement</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Date</FONT></TD>
    <TD COLSPAN="4" STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold; border-top: Black 1pt solid; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Appreciation</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(Depreciation)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif; border-top: Black 1pt solid; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CAD</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">400,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">399,081</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citigroup, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/16/13</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,241</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CAD</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,060,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,066,575</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goldman Sachs Group, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/16/13</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(422)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CAD</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">22,969</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/16/13</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">164</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">250,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">401,590</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citigroup, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/16/13</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,086)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,071,610</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CAD</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,064,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goldman Sachs Group, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/16/13</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,433</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,789,010</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">CAD</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,705,500</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/16/13</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">61,999</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">33,899,286</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">21,149,500</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Goldman Sachs Group, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/16/13</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">17,471</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,625,651</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,015,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Royal Bank of Scotland Group Plc</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/16/13</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(394)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">168,220</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">105,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Royal Bank of Scotland Group Plc</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/16/13</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">323,943</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">204,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/16/13</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(2,868)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">224,218</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">141,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/16/13</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,666)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">652,313</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">GBP</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">405,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/16/13</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,497</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">302,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">387,332</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/23/13</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5,634</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">387,101</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">300,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BNP Paribas SA</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/23/13</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(3,263)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">773,416</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">608,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Citigroup, Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/23/13</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(17,722)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">740,049</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">570,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/23/13</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(1,643)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; padding-bottom: 1pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">23,729,819</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">EUR</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">18,095,000</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">UBS AG</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-indent: -0.1in; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: center; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1/23/13</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; border-bottom: Black 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-left: 0.1in; text-align: right; text-indent: -0.1in; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">184,358</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="18" STYLE="font-size: 2pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#9;</FONT></TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold; padding-bottom: 1pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; font-weight: bold; padding-bottom: 1pt">&nbsp;</TD>
    <TD STYLE="border-bottom: Black 1pt solid; vertical-align: bottom; padding-top: 2pt; font-weight: bold; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">$</FONT></TD>
    <TD COLSPAN="2" STYLE="border-bottom: Black 1pt solid; vertical-align: bottom; padding-top: 2pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-top: 2pt; text-align: right; font-weight: normal; border-bottom: Black 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">248,742</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif; padding-bottom: 1pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="18" STYLE="font-size: 2pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&#9;</FONT></TD></TR>
<TR>
    <TD STYLE="width: 4%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 14%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 17%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 23%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 13%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; width: 4%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 96%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit default swaps - buy protection outstanding as of November 30, 2012 were as follows:</FONT></TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="14" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Issuer</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pay</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fixed</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rate</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Expiration</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Date</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Amount</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized Depreciation</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="14" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; width: 4%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 13%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Australia &amp; New Zealand Banking Group Ltd.</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 1%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 7%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.00%</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 1%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 31%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 1%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 14%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/20/17</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 1%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 5%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 1%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 6%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,643</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(44,918)</FONT></TD>
    <TD STYLE="width: 1%; font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Commonwealth Bank of Australia</FONT></TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.00%</FONT></TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</FONT></TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/20/17</FONT></TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,200</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(87,297)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">National Australia Bank Ltd.</FONT></TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.00%</FONT></TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</FONT></TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/20/17</FONT></TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,200</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(84,289)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Westpac Banking Corp.</FONT></TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.00%</FONT></TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</FONT></TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">9/20/17</FONT></TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,643</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(42,164)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="14" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD COLSPAN="11" STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(258,668)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="11" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 0pt solid">&nbsp;</TD><TD COLSPAN="12" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; width: 4%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 96%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit default swaps - sold protection outstanding as of November 30, 2012 were as follows:</FONT></TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="16" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Issuer</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Receive</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fixed</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rate</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Expiration</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Date</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Rating<SUP>1</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Amount</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)<SUP>2</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized Appreciation </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="16" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; width: 4%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 12%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Caesars Entertainment Operating Co., Inc.</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 1%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 7%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5.00%</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 1%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 26%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">JPMorgan Chase &amp; Co.</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 1%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 12%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">12/20/15</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 1%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 7%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">B-</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 1%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 5%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 1%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 6%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">626</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">19,655</FONT></TD>
    <TD STYLE="width: 1%; font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="16" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: super; width: 4%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>1</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 96%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Using Standard &amp; Poor&rsquo;s (&ldquo;S&amp;P&rdquo;) rating.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: super; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>2</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.</FONT></TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>


<!-- Field: Page; Sequence: 23 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->23<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B></B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; width: 4%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 96%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit default swaps on traded indexes - buy protection outstanding as of November 30, 2012 were as follows:</FONT></TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="14" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Index</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Pay</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fixed</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rate</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Expiration</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Date</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Amount</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized Depreciation</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="14" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; width: 4%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 13%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dow Jones CDX North America Investment Grade Index Series 16</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 1%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 7%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.00%</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 1%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 31%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan Stanley</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 1%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 14%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/20/16</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 1%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 5%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 1%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 6%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,700</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(55,322)</FONT></TD>
    <TD STYLE="width: 1%; font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="14" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; width: 4%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 96%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit default swaps on traded indexes - sold protection outstanding as of November 30, 2012 were as follows:</FONT></TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="16" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Index</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Receive</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fixed</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rate</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Expiration</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Date</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit Rating<SUP>1</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Amount</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)<SUP>2</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized Appreciation </FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="16" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; width: 4%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 12%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Dow Jones CDX North America Investment Grade Index Series 16</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 1%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 7%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.00%</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 1%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 26%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Morgan Stanley</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 1%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 12%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6/20/16</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 1%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 7%; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">BBB+</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 1%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 5%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 1%">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 6%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,700</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 2%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 12%; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">154,083</FONT></TD>
    <TD STYLE="width: 1%; font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="16" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: super; width: 4%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>1</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 96%; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Using S&amp;P&rsquo;s rating of the underlying security.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: super; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>2</SUP></FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The maximum potential amount the Trust may pay should a negative credit event take place as defined under the terms of the agreement.</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-top: 3pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interest rate swaps outstanding as of November 30, 2012 were as follows: </FONT></TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="16" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fixed</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rate</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Rate</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Counterparty</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Expiration</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Date</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Notional</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Amount</FONT><BR>
<FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(000)</FONT></TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; padding-bottom: 4pt; text-align: center; font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Unrealized Depreciation</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="16" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1.10% <SUP>3</SUP></FONT></TD>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3-month LIBOR</FONT></TD>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Deutsche Bank AG</FONT></TD>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">5/14/17</FONT></TD>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">USD</FONT></TD>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD STYLE="vertical-align: top; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">14,500</FONT></TD>
    <TD STYLE="vertical-align: top; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="vertical-align: top; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(290,966)</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif">&nbsp;</TD></TR>
<TR STYLE="font-size: 2pt"> <TD STYLE="vertical-align: bottom; font-weight: bold; font-size: 2pt">&nbsp;</TD> <TD COLSPAN="16" STYLE="font: 2pt Times New Roman, Times, Serif; border-bottom: Black 1pt solid">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 4%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 6%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 14%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 27%">&nbsp;</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 14%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 5%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 6%">&nbsp;</TD>
    <TD STYLE="width: 2%">&nbsp;</TD>
    <TD STYLE="width: 12%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD></TR>
</TABLE>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR STYLE="text-align: left; vertical-align: top">
    <TD STYLE="width: 4%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><SUP>3</SUP></FONT></TD>
    <TD STYLE="width: 95%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Trust pays the fixed rate and receives the floating rate.</FONT></TD>
    <TD STYLE="font: 12pt Times New Roman, Times, Serif; width: 1%">&nbsp;</TD></TR>
</TABLE>
<P></p>
<!-- Field: Page; Sequence: 24 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->24<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B></B></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0"></P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&bull;</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom">
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">For Trust compliance purposes, the Trust'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.</P>

</TD></TR>
<TR>
    <TD STYLE="vertical-align: top">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: top; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&bull;</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Fair Value Measurements - Various inputs are used in determining the fair value of investments and derivative financial instruments. These inputs to valuation techniques are categorized into a disclosure hierarchy consisting of three broad levels for financial reporting purposes as follows:</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: top; text-align: center">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="vertical-align: bottom">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom; width: 4%">&nbsp;</TD>
    <TD STYLE="vertical-align: top; text-align: center; width: 4%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 92%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level 1 &mdash; unadjusted price quotations in active markets/exchanges for identical assets and liabilities that the Trust has the ability to access</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: top; text-align: center">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: top; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level 2 &mdash; other observable inputs (including, but not limited to, quoted prices for similar assets or liabilities in markets that are active, quoted prices for identical or similar assets or liabilities in markets that are not active, inputs other than quoted prices that are observable for the assets or liabilities (such as interest rates, yield curves, volatilities, prepayment speeds, loss severities, credit risks and default rates) or other market-corroborated inputs)</FONT></TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: top; text-align: center">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD></TR>
<TR>
    <TD STYLE="vertical-align: bottom">&nbsp;</TD>
    <TD STYLE="vertical-align: top; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&bull;</FONT></TD>
    <TD STYLE="vertical-align: bottom"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level 3 &mdash; 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)</FONT></TD></TR>
</TABLE>


<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0"></P>

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 100%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The hierarchy gives the highest priority to unadjusted quoted prices in active markets for identical assets or liabilities (Level 1 measurements) and the lowest priority to unobservable inputs (Level 3 measurements). Accordingly, the degree of judgment exercised in determining fair value is greatest for instruments categorized in Level 3. The inputs used to measure fair value may fall into different levels of the fair value hierarchy. In such cases, for disclosure purposes, the level in the fair value hierarchy within which the fair value measurement falls in its entirety is determined based on the lowest level input that is significant to the fair value measurement in its entirety. </FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">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 instrument 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 annual report.</FONT></TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD STYLE="width: 100%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">The following tables summarize the Trust's investments and derivative financial instruments categorized in the disclosure hierarchy as of November 30, 2012: </FONT></TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="4" STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level 1</FONT></TD>
    <TD COLSPAN="2" STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; font-weight: bold">&nbsp;</TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level 2</FONT></TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; font-weight: bold">&nbsp;</TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level 3</FONT></TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; font-weight: bold">&nbsp;</TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="13" STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Assets:</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="13" STYLE="font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">Investments:</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="13" STYLE="font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">Long Term Investments:</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: left"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Asset-Backed Securities</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">40,847,225</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">10,320,939</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">51,168,164</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2">&nbsp;</TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Common Stocks</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">2,792,873</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,325,787</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,118,660</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2">&nbsp;</TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Corporate Bonds</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">446,199,227</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">6,675,062</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">452,874,289</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2">&nbsp;</TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Floating Rate Loan Interests</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">265,711,809</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">48,035,951</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">313,747,760</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2">&nbsp;</TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Municipal Bonds</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,098,903</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,098,903</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2">&nbsp;</TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Non-Agency Mortgage-Backed Securities</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72,949,905</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">72,949,905</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2">&nbsp;</TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Other Interests</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,608,922</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,608,922</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2">&nbsp;</TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Preferred Securities</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,013,133</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">725,625</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">3,738,758</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2">&nbsp;</TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">US Government Sponsored Agency Securities</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,260,409</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">55,260,409</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD>&nbsp;</TD>
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Short-Term Securities</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,951,071</FONT></TD>
    <TD COLSPAN="2">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">4,951,071</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></FONT></TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">7,964,204</FONT></TD>
    <TD COLSPAN="2" STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="2" STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">892,585,976</FONT></TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">70,966,661</FONT></TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">971,516,841</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="4" STYLE="border-bottom: windowtext 1pt solid; font-weight: bold">&nbsp;</TD>
    <TD STYLE="border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level 1</FONT></TD>
    <TD COLSPAN="2" STYLE="border-bottom: windowtext 1pt solid; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level 2</FONT></TD>
    <TD STYLE="border-bottom: windowtext 1pt solid; font-weight: bold">&nbsp;</TD>
    <TD STYLE="border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level 3</FONT></TD>
    <TD STYLE="border-bottom: windowtext 1pt solid; font-weight: bold">&nbsp;</TD>
    <TD STYLE="border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="9" STYLE="font-weight: normal"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif; font-weight: normal">Derivative Financial Instruments<SUP>1</SUP></FONT></TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="4" STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Assets:</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: center">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Equity contracts</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD COLSPAN="2"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interest rate contracts</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$ 186,978</FONT></TD>
    <TD COLSPAN="2">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">186,978</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Foreign currency exchange contracts</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD COLSPAN="2">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">277,806</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">277,806</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit contracts</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD COLSPAN="2">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">173,738</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">173,738</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="4" STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Liabilities:</FONT></TD>
    <TD STYLE="font-weight: bold; text-align: center">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="font-weight: bold">&nbsp;</TD>
    <TD STYLE="font-weight: bold; text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Interest rate contracts</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(33,876)</FONT></TD>
    <TD COLSPAN="2">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(290,966)</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(324,842)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Foreign currency exchange contracts</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD COLSPAN="2">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(29,064)</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(29,064)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="4"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Credit contracts</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD COLSPAN="2">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(313,990)</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD>&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(313,990)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="3" STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></FONT></TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; text-align: right">&nbsp;</TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$ 153,102</FONT></TD>
    <TD COLSPAN="2" STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="2" STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(182,475)</FONT></TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; text-align: right">&nbsp;</TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">&mdash;</FONT></TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(29,373)</FONT></TD></TR>
<TR>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 5px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 2px">&nbsp;</TD>
    <TD STYLE="width: 4px">&nbsp;</TD>
    <TD STYLE="width: 5px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0"><SUP>1</SUP> 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.</P>

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>


<!-- Field: Page; Sequence: 25 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->25<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(continued)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="width: 100%"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Certain of the Trust&rsquo;s assets and liabilities are held at carrying amount or face value, which approximates fair value for financial reporting purposes. As of November 30, 2012, such assets and liabilities are categorized within the disclosure hierarchy as follows:</FONT></TD></TR>
</TABLE>
<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="2" STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid">&nbsp;</TD>
    <TD COLSPAN="3" STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level 1</FONT></TD>
    <TD COLSPAN="2" STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level 2</FONT></TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; font-weight: bold">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Level 3</FONT></TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; font-weight: bold">&nbsp;</TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; font-weight: bold; text-align: center"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Total</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="14" STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Assets:</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cash</FONT></TD>
    <TD COLSPAN="3"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-left: 2.15pt; text-align: right; text-indent: -2.15pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,186</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-left: 12pt">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">--</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">--</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="padding-left: 2.15pt; text-align: right; text-indent: -2.15pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">8,186</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cash pledged as collateral for financial futures contracts</FONT></TD>
    <TD COLSPAN="3">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-left: 2.15pt; text-align: right; text-indent: -2.15pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">149,500</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-left: 12pt">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">--</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">--</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="padding-left: 2.15pt; text-align: right; text-indent: -2.15pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">149,500</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cash pledged as collateral for reverse repurchase agreements</FONT></TD>
    <TD COLSPAN="3">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-left: 2.15pt; text-align: right; text-indent: -2.15pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">600,000</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-left: 12pt">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">--</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">--</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="padding-left: 2.15pt; text-align: right; text-indent: -2.15pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">600,000</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Foreign currency at value</FONT></TD>
    <TD COLSPAN="3">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-left: 2.15pt; text-align: right; text-indent: -2.15pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">305,644</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-left: 12pt">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">--</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">--</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="padding-left: 2.15pt; text-align: right; text-indent: -2.15pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">305,644</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD COLSPAN="14" STYLE="font-weight: bold"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Liabilities:</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Cash received as collateral for reverse repurchase agreements</FONT></TD>
    <TD COLSPAN="3">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-left: 2.15pt; text-align: right; text-indent: -2.15pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">--</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right; padding-left: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(522,000)</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">--</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="padding-left: 2.15pt; text-align: right; text-indent: -2.15pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(522,000)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">Reverse repurchase agreements</FONT></TD>
    <TD COLSPAN="3">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-left: 2.15pt; text-align: right; text-indent: -2.15pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">--</FONT></TD>
    <TD COLSPAN="3" STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(296,586,335)</FONT></TD>
    <TD COLSPAN="2" STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">--</FONT></TD>
    <TD STYLE="text-align: right">&nbsp;</TD>
    <TD STYLE="padding-left: 2.15pt; text-align: right; text-indent: -2.15pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(296,586,335)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif"><B>Total</B></FONT></TD>
    <TD COLSPAN="2" STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD COLSPAN="3" STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">1,063,330</FONT></TD>
    <TD COLSPAN="2" STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; text-align: right; padding-left: 12pt"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(297,108,335)</FONT></TD>
    <TD COLSPAN="2" STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; text-align: right">&nbsp;</TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">--</FONT></TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">$</FONT></TD>
    <TD STYLE="border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; text-align: right"><FONT STYLE="font-family: Arial, Helvetica, Sans-Serif">(296,045,005)</FONT></TD></TR>
<TR>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 9px">&nbsp;</TD>
    <TD STYLE="width: 0px">&nbsp;</TD>
    <TD STYLE="width: 1px">&nbsp;</TD>
    <TD STYLE="width: 54px">&nbsp;</TD>
    <TD STYLE="width: 7px">&nbsp;</TD>
    <TD STYLE="width: 1px">&nbsp;</TD>
    <TD STYLE="width: 6px">&nbsp;</TD>
    <TD STYLE="width: 52px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD STYLE="width: 11px">&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD>
    <TD>&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; color: #231F20">&nbsp;</P>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">There were no transfers between Level 1 and Level 2 during the period
ended November 30, 2012.</P>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">A reconciliation of Level 3 investments is presented when the Trust
had a significant amount of Level 3 investments at the beginning and/or end of the period in relation to net assets. The following
table is a reconciliation of Level 3 investments for which significant unobservable inputs were used in determining fair value:</P>

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; width: 100%; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: bottom; width: 26%; border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 11%; border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; font-weight: bold; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Asset-Backed Securities</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 12%; border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; font-weight: bold; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Common Stocks</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 11%; border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; font-weight: bold; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Corporate Bonds</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 12%; border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; padding-right: -5.35pt; padding-left: 5.4pt; font-weight: bold; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Floating Rate Loan Interests</B></FONT></TD>
    <TD STYLE="vertical-align: top; width: 2%; border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 12%; border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; padding-right: -5.4pt; padding-left: 5.4pt; font-weight: bold; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Other Interests</B></FONT></TD>
    <TD STYLE="vertical-align: bottom; width: 2%; border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; padding-right: -5.4pt; padding-left: 5.4pt; font-weight: bold; text-align: center">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; width: 12%; border-top: windowtext 1pt solid; border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; font-weight: bold; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Total</B></FONT></TD></TR>
<TR>
    <TD NOWRAP STYLE="vertical-align: bottom; padding-right: 5.4pt; padding-left: 5.4pt; font-weight: bold"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Assets:</B></FONT></TD>
    <TD NOWRAP STYLE="vertical-align: bottom; padding-right: 5.4pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; padding-right: 5.4pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; padding-right: 5.4pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; padding-right: -5.35pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD STYLE="vertical-align: top; padding-right: 5.4pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; padding-right: -5.4pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD STYLE="vertical-align: top; padding-right: -5.4pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD NOWRAP STYLE="vertical-align: bottom; padding-right: 5.4pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: -5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Opening Balance, as of August 31, 2012</FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">$9,845,241 </FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">$2,007,283 </FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">$1,727 </FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">$38,594,979 </FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">$1,608,923 </FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">$52,058,153 </FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Transfers into Level 3<SUP>1</SUP></FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">--</FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">1,744,868 </FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">6,811,137 </FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">13,106,699 </FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">--</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">21,662,704 </FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Transfers out of Level 3<SUP>1</SUP></FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">--</FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">--</FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">--</FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">(9,543,312)</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">--</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">(9,543,312)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt">
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">Accrued discounts/premiums</P></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">(222,181)</FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">--</FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">(9,875)</FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">49,734 </FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">--</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">(182,322)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Net realized gain (loss) </FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">65,263 </FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">--</FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">--</FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">66,738 </FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">--</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">132,001 </FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Net change in unrealized appreciation/depreciation<SUP>2</SUP></FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">504,365 </FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">304,390 </FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">(127,927)</FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">(141,071)</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">(1)</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">539,756 </FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Purchases</FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">1,531,720 </FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">269,246 </FONT></TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">9,575,058 </FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">--</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">11,376,024 </FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Sales</FONT></TD>
    <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">(1,403,469)</FONT></TD>
    <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">--</FONT></TD>
    <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">--</FONT></TD>
    <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">(3,672,874)</FONT></TD>
    <TD STYLE="border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">--</FONT></TD>
    <TD STYLE="border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif; color: black">(5,076,343)</FONT></TD></TR>
<TR STYLE="vertical-align: bottom">
    <TD NOWRAP STYLE="padding-right: 5.4pt; padding-left: 5.4pt">
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0"><B>Closing Balance, as of </B></P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0"><B>November 30, 2012</B></P></TD>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">$10,320,939</FONT></TD>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">$4,325,787</FONT></TD>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">$6,675,062</FONT></TD>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">$48,035,951</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">$1,608,922</FONT></TD>
    <TD STYLE="border-bottom: Black 2pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">&nbsp;</TD>
    <TD NOWRAP STYLE="border-bottom: Black 2pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">$70,966,661</FONT></TD></TR>
</TABLE>

<!-- Field: Page; Sequence: 26 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->26<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 54%; border-top: Navy 6px solid"><FONT STYLE="color: navy; font-size: 14pt">Consolidated Schedule of Investments </FONT><FONT STYLE="font: 9pt Arial, Helvetica, Sans-Serif; color: navy">(concluded)</FONT></TD><TD STYLE="text-align: right; width: 46%; border-top: Navy 6px solid"><P STYLE="color: navy; font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"><B> BlackRock Limited Duration Income Trust (BLW)</B></P><P STYLE="color: navy; font: 7pt Arial, Helvetica, Sans-Serif; margin: 0; text-align: right"></P></TD></TR></TABLE></DIV>
    <!-- Field: /Page -->

<P STYLE="font: 12pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 22pt; text-align: left"><SUP>1</SUP></TD><TD>Transfers into and transfers out of Level 3 represent the
values as of the beginning of the reporting period. As of August 31, 2012, the Trust used observable inputs in determining the
value of certain investments. As of November 30, 2012, the Trust used significant unobservable inputs in determining the value
on the same investments. As a result, investments with a beginning of period value of $21,662,704 transferred from Level 2 to
Level 3 in the disclosure hierarchy. As of August 31, 2012, the Trust used significant unobservable inputs in determining the
value of certain investments. As of November 30, 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 $9,543,312 transferred from Level 3 to Level 2 in the disclosure
hierarchy.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 22pt; text-align: left"><SUP>2</SUP></TD><TD>The change in unrealized appreciation/depreciation on investments
still held as of November 30, 2012 was $566,037.</TD>
</TR></TABLE>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0 0 0 3.25pt; text-indent: -8pt"><SUP>&nbsp;</SUP></P>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; color: #231F20">&nbsp;</P>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">The following table summarizes the valuation techniques used and unobservable
inputs developed by the BlackRock Global Valuation Methodologies Committee (&ldquo;Global Valuation Committee&rdquo;) to determine
the value of certain of the Trust&rsquo;s Level 3 investments as of November 30, 2012. The table does not include Level 3 investments
with values derived utilizing transaction prices from recent prior transactions or third party pricing information without adjustment
for which such inputs are also unobservable. A significant change in third party pricing information could result in a significantly
lower or higher value of Level 3 investments. The value of Level 3 investments derived using prices from prior transactions and/or
third party pricing information is $60,569,989.</P>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR>
    <TD STYLE="vertical-align: top; width: 21%; padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD STYLE="vertical-align: bottom; width: 11%; border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt">
        <P STYLE="font: 12pt Times New Roman, Times, Serif; margin: 0; text-indent: 0.5in">&nbsp;</P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; text-align: center; margin-bottom: 0"><B>Value</B></P></TD>
    <TD STYLE="vertical-align: bottom; width: 24%; border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt">
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0"><B>&nbsp;</B></P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0"><B>Valuation Techniques</B></P></TD>
    <TD STYLE="vertical-align: bottom; width: 21%; border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt">
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0"><B>Unobservable</B></P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0pt; text-indent: 10pt"><B>Inputs<SUP>1</SUP></B></P></TD>
    <TD STYLE="vertical-align: bottom; width: 11%; border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt">
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0"><B>Range of</B></P>
        <P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0"><B>Unobservable Inputs Utilized</B></P></TD>
    <TD STYLE="vertical-align: bottom; width: 12%; border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; font-weight: bold"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Weighted Average of Unobservable Inputs<SUP>2</SUP></B></FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; font-weight: bold"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Assets:</B></FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Common Stocks</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">$ 2,888,479</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Market Comparable Companies</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">EBITDA Multiple</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">6.7x</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">6.7x</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Forward EBITDA Multiple</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">5.4x</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">5.4x</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Floating Rate Loan Interests</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">7,508,193</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Market Comparable Companies</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Yield</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">9.64%</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">9.64%</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Illiquidity Discount</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">50%</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">50%</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD STYLE="border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: right">&nbsp;</TD>
    <TD STYLE="border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Cost</FONT></TD>
    <TD STYLE="border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">N/A<SUP>3</SUP></FONT></TD>
    <TD STYLE="border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">--</FONT></TD>
    <TD STYLE="border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">--</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; font-weight: bold"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif"><B>Total</B></FONT></TD>
    <TD STYLE="border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt; text-align: right"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">$10,396,672</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 22pt; text-align: left"><SUP>1</SUP></TD><TD>A change to the unobservable input may result in a significant
change to the value of the investment as follows:</TD>
</TR></TABLE>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0">&nbsp;</P>

<TABLE CELLSPACING="0" CELLPADDING="0" STYLE="width: 100%; font: 8pt Arial, Helvetica, Sans-Serif; border-collapse: collapse">
<TR STYLE="vertical-align: top">
    <TD STYLE="border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Unobservable Input</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; font-weight: bold">&nbsp;</TD>
    <TD STYLE="border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Impact to Value if Input Increases</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD STYLE="border-bottom: windowtext 1pt solid; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Impact to Value if Input Decreases</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">EBITDA Multiple</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Increase</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Decrease</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Forward EBITDA Multiple</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Increase</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Decrease</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Yield</FONT></TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Decrease</FONT></TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Increase</FONT></TD></TR>
<TR>
    <TD COLSPAN="2" STYLE="vertical-align: bottom; padding-right: 5.4pt; padding-left: 5.4pt"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Illiquidity Discount</FONT></TD>
    <TD COLSPAN="2" STYLE="vertical-align: top; padding-right: 5.4pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Decrease</FONT></TD>
    <TD STYLE="vertical-align: top; padding-right: 5.4pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD STYLE="vertical-align: top; padding-right: 5.4pt; padding-left: 5.4pt; text-align: center"><FONT STYLE="font: 8pt Arial, Helvetica, Sans-Serif">Increase</FONT></TD></TR>
<TR STYLE="vertical-align: top">
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt; padding-left: 5.4pt">&nbsp;</TD>
    <TD COLSPAN="2" STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD>
    <TD STYLE="padding-right: 5.4pt; padding-left: 5.4pt; text-align: center">&nbsp;</TD></TR>
<TR>
    <TD STYLE="width: 22%">&nbsp;</TD>
    <TD STYLE="width: 7%">&nbsp;</TD>
    <TD STYLE="width: 31%">&nbsp;</TD>
    <TD STYLE="width: 1%">&nbsp;</TD>
    <TD STYLE="width: 3%">&nbsp;</TD>
    <TD STYLE="width: 36%">&nbsp;</TD></TR>
</TABLE>
<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0"><SUP>&nbsp;</SUP></P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 22pt; text-align: left"><SUP>2</SUP></TD><TD>Unobservable inputs are weighted based on the value of
the investments included in the range.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin-top: 0; margin-bottom: 6pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0"></TD><TD STYLE="width: 22pt; text-align: left"><SUP>3</SUP></TD><TD>The Trust fair values certain of its Level 3 investments
using prior transaction prices (acquisition cost), although the transaction may not have occurred during the current reporting
period. In such cases, these investments are generally privately held investments. There may not be a secondary market, and/or
there are a limited number of investors. The determination to fair value such investments at cost is based upon factors consistent
with the principles of fair value measurement that are reasonably available to the Global Valuation Committee, or its delegate.
Valuations are reviewed utilizing available market information to determine if the carrying value should be adjusted. Such market
data may include, but is not limited to, observations of the trading multiples of public companies considered comparable to the
private companies being valued, financial or operational information released by the company, and/or news or corporate events
that affect the investment. Valuations may be adjusted to account for company-specific issues, the lack of liquidity inherent
in a nonpublic investment and the fact that comparable public companies are not identical to the investments being fair valued
by the Trust.</TD>
</TR></TABLE>

<P STYLE="font: 8pt Arial, Helvetica, Sans-Serif; margin: 0; color: #231F20">&nbsp;</P>



<P STYLE="margin: 0"></P>

<!-- Field: Page; Sequence: 27 -->
    <DIV STYLE="margin-top: 6pt; margin-bottom: 6pt; border-top: Black 1pt solid"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">BLACKROCK LIMITED DURATION INCOME TRUST</TD><TD STYLE="text-align: right; width: 50%">NOVEMBER 30, 2012 &nbsp;&nbsp;&nbsp;<!-- Field: Sequence; Type: Arabic; Name: PageNo -->27<!-- Field: /Sequence --></TD></TR></TABLE></DIV>
    <DIV STYLE="page-break-before: always; margin-top: 6pt; margin-bottom: 6pt"><TABLE CELLPADDING="0" CELLSPACING="0" STYLE="width: 100%; font: 9pt Arial, Helvetica, Sans-Serif"><TR><TD STYLE="text-align: left; width: 50%">&nbsp;</TD><TD STYLE="text-align: right; width: 50%">&nbsp;</TD></TR></TABLE></DIV>
    <!-- Field: /Page -->
<P STYLE="margin: 0"></P>


<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 42pt; text-indent: -42pt">Item 2 &ndash; Controls and Procedures</P>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 12pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 7%; text-align: left">2(a) &ndash; </TD><TD STYLE="width: 93%"> 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.</TD>
</TR></TABLE>

<TABLE CELLPADDING="0" CELLSPACING="0" STYLE="font: 11pt Times New Roman, Times, Serif; margin-top: 0pt; margin-bottom: 12pt"><TR STYLE="vertical-align: top">
<TD STYLE="width: 0pt"></TD><TD STYLE="width: 7%; text-align: left">2(b)&ndash;</TD><TD STYLE="width: 93%"> 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.</TD>
</TR></TABLE>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 42pt; text-indent: -42pt">Item 3 &ndash; Exhibits</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 11pt 42pt; text-indent: -6pt">Certifications &ndash; Attached hereto</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 0.5in">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.</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">BlackRock Limited Duration Income Trust</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt; text-indent: 0.5in"></P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">By:&nbsp;<U>/s/ John M. Perlowski</U></P>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt; text-indent: 0.25in">John M. Perlowski</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt; text-indent: 0.25in">Chief Executive Officer (principal executive officer) of</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt; text-indent: 0.25in">BlackRock Limited Duration Income Trust</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">Date: January 23, 2013</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">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.</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 1in"></P>

<P STYLE="font: 11pt/normal Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">By:&nbsp;<U>/s/ John M. Perlowski</U></P>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt; text-indent: 0.25in">John M. Perlowski</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt; text-indent: 0.25in">Chief Executive Officer (principal executive officer) of</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt; text-indent: 0.25in">BlackRock Limited Duration Income Trust</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">Date: January 23, 2013</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt; text-indent: 0.5in"></P>

<P STYLE="font: 11pt/normal Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">By:&nbsp;<U>/s/ Neal J. Andrews</U></P>
<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt; text-indent: 0.25in">Neal J. Andrews</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt; text-indent: 0.25in">Chief Financial Officer (principal
financial officer) of</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt; text-indent: 0.25in">BlackRock Limited Duration Income Trust</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">&nbsp;</P>

<P STYLE="font: 11pt Times New Roman, Times, Serif; margin: 0 0 0 41.75pt">Date: January 23, 2013</P>






<P STYLE="margin: 0"></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, 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-top: 0; margin-bottom: 6pt; margin-left: 0pt; text-indent: 0pt">1.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
&nbsp;&nbsp; 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-top: 0; margin-bottom: 6pt; margin-left: 0pt; text-indent: 0pt">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-top: 0; margin-bottom: 6pt; margin-left: 0pt; text-indent: 0pt">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-top: 0; margin-bottom: 6pt; margin-left: 0pt; text-indent: 0pt">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-top: 0; margin-bottom: 6pt; margin-left: 0pt; text-indent: 0pt">5.&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)<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: January 23, 2013</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"><U>/s/ John M. Perlowski</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: 0pt"></TD><TD STYLE="width: 0pt"></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-top: 0; margin-bottom: 6pt; margin-left: 0pt; text-indent: 0pt">1.&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;&nbsp;
&nbsp;&nbsp; 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-top: 0; margin-bottom: 6pt; margin-left: 0pt; text-indent: 0pt">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-top: 0; margin-bottom: 6pt; margin-left: 0pt; text-indent: 0pt">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-top: 0; margin-bottom: 6pt; margin-left: 0pt; text-indent: 0pt">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-top: 0; margin-bottom: 6pt; margin-left: 0pt; text-indent: 0pt">5.&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)<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: January 23, 2013</P>

<P STYLE="font: 10pt Times New Roman, Times, Serif; margin: 0"><U>/s/ Neal J. Andrews</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: 0pt"></TD><TD STYLE="width: 0pt"></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>



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